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It's called ice sailing, and it happens lot in Ontario and Quebec come the frozen-lake season.
They basically take a go-cart frame, put a mast and sails on it, and then ice skate blades underneath for "runners".... a good breeze, and you'd better hang on, those things can easily get to 50 mph in the right conditions.
If you want to go sailing during winter time, you can go someplace where it is not winter time. Like Hawaii or the Pacific. Ice sailing seems fun though.