This situation actually befalls skiers each winter in the mountains of northern Arizona where I live. Regardless of the season, one thing that Search & Rescue personnel agree on is the importance of staying put if you become lost. It increases the odds that they will locate youit helps that you won't be wandering outside of their search radius.
The first step is to get that old ego out of the way and admit that you are lost. It can happen to anyone, regardless of experience. I've been lost before because I didn't pay attention. Mother Nature does not care if you are a survival instructor or a veteran hiker. Once you admit that you're lost, it will mentally free you up to concentrate on other survival priorities, like staying put.
Now, lean against a tree for a minute, take a deep breath, and then open a can of "toughen up" and gulp it down. Say to yourself that you are going to make it through this outing no matter how rough it gets. Keep up a positive mental attitude by remembering loved ones back home and knowing that you will return to them! Do not underestimate willpower in overcoming adversity. It forms the foundation for everything else you do.
Next, assess your physical condition. Are you injured, dehydrated, or mildly hypothermic? Take care of these issues first. Then get busy making a shelter to cut the wind, and start gathering wood to make a fire. In the winter, you will need copious amounts of wood to sustain an all-night fire. On one winter survival trip in the subarctic where the nighttime temperature was around 30 F below, I went through the equivalent of a cord of wood to heat my open-faced lean-to.
Once first-aid, shelter, and fire priorities are taken care of, it's time to melt some snow and make a ground-to-air signal panel. The best snowmelting device I know of is the snow-marshmallow. If you've ever made a snowman, then you know what I am getting at. Roll up a ball of snow the size of a soccer ball, jam it onto the end of a pointed stick about 4' long and then stick this, like a skewered hotdog, next to the fire and above a container. The resulting snowmelt will drip down and collect in your container.
Stamp out a signal panel in the snow by making a huge X pattern: 30'-50' long. Fill the trenches with pine needles, dirt, and other detritus to create contrast. If placed in an open area, this will serve as an excellent visual aid to aerial searchers. A smoky fire will also draw attention to your location. Place green pine-boughs on the fire to create more smoke.
There you have it. Hunker down, stay warm and dry by your fire, drink that snowmelted water, and plan your next vacationto Hawaii.