When she woke up, she felt terribly cold.

Literal

She [topic-は] eyes [object-を] opened when, terribly cold [quotative-と] thought.

目を覚ました時 ('when she woke up') uses the idiom 目を覚ます ('to wake up,' literally 'to awaken one's eyes'). ひどく寒いと思った means 'she felt it was terribly cold.'