First and foremost, stabilize your injury and tend to your physical well-being. Most survivors of such situations end up both injured and hypothermic, so having some wilderness medical training under your belt is essential if you spend a lot of time in the backcountry. Both the Wilderness Medicine Institute and Wilderness Medical Associates offers quality training in this area, and these are skills you will be glad you possess.
The severity of your injury will determine what happens next. Can you walk? Do you have a broken arm or ribs? A concussion? There is no cookie-cutter answer to a backcountry survival scenario. Each one is different and dependent on your condition, the gear you brought, your skills, weather, and environment.
What you will find is that survival has priorities regardless of the setting, so shelter, water, fire, and signaling are the key areas you must take care of next after stabilizing your injury. In a winter environment, the ability to make fire is absolutely critical, so always carry three fire-making devices and some cotton balls smeared with Vaseline for tinder. Fire = Life in the winter wilds.
After building a fire, construct a windbreak or lean-to using a tarp (that you brought because you planned ahead!) or natural materials if necessary. This will help stave off hypothermia and allow you to dry out, melt snow, and signal, and it makes any place in the wilderness a home, thus helping with the psychological factor associated with getting lost.
Then, you have to determine whether to stay put or try to hike out later. What you decide would depend on whether you left a travel plan with someone back home so they know your location. Most SAR personnel recommend staying put because it makes their job easier, but this presumes you left the all-important travel plan with someone.
If you sift through enough real-life survival stories or interview folks who have been lost, you will find a recurring theme: most thought they were "just going out for a short hike" and didn't tell anyone where they were headed. Additionally, most don't bring any survival gear to handle fire-making, signaling, or first-aid. My kit weighs a few pounds, and most of the gear goes in my pockets, so don't think of bringing a big rucksack here. A small, personalized kit is life insurance.
Proper clothing is essential in the wintertime as well, so avoid 100-percent cotton and have the correct footwear and mittens because these are your first shelter. If you are dressed appropriately and suffer a debilitating injury that immobilizes you, your clothing and outerwear may very well determine how long you last in the snow.
Remember, the winter is unforgiving, and a mishap can indeed be costly in either loss of life or loss of fingers and toes so dress accordingly, bring a custom survival kit, and tell someone where you are headed.
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