Make sure you start the pup on a routine as well. Give your pup specific feeding times, walk times, etc. Take the pup out after eating, sleeping, drinking, and playing. Routines help with potty training your pup. Once you're on a routine, don't quit just because the pup has an accident. You have to STAY CONSISTANT, and keep with that one particular routine, or your pup will only become confused.
If the pup does go potty indoors, NEVER rub their nose in it, or punish them "after the fact". Once they've pee'd... they've pee'd. They don't remember. Punishing them after they've already gone will just teach them to be afraid of you. Even if they "look guilty" it's because they can read your body language and know that his/her human mommy isn't happy.The only time you should punish them is when you CATCH them in the act.
But I was going to add in what Barret said. Buying your pup a little sweater or jacket will probably make the pup more comfortable.
It'll take time, your pup is young!
Just my .02
