any wallet that is created on an offline computer (or any other way that does not require a computer) and is kept offline can be called a cold storage.
it is for keeping your bitcoin safe from malware and theft.
depending on what kind of cold storage you want to use, making one can be different. easiest in my opinion is using an always offline computer and generate a wallet with Electrum.
there are step by step tutorials of creating cold storage (different ones) on the internet if you search.

i liked this thread for all the information it has in one place:
https://bitcointalk.org/index.php?topic=858604.0



but it is not free