How cold are we talking about? Since the internal combustion engine is not very efficient when first starting up, I wouldn't worry about it. I was reading the ASE's magazine about BMW's new all-magnesium engine and they were amazed that they could get the cat to light up in less than (I think) 2-3 minutes.

Most of the pollution that automakers are focusing on occurs at startup: the cat is cold and takes a while to light up; the rest of hte emmission control system hasn't come on line; and the enigine itself is barely running and making huge volumes of nasty emissions because the combustion process is so incomplete at low tempretures.

The result is that all that crap is sent straight out the tailpipe without being "treated". It is very common around here (Minnesota) to smell raw gas from the tailpipe of any car when you first start it. If it lasts longer than 15-30 seconds, then I'd worry.