>Is there anything about this on the internet that supports this thesis? Any studies?

Not exactly, but near enough:

http://www.bbc.com/future/story/20120305-youll-catch-a-cold-...

http://fampra.oxfordjournals.org/content/22/6/608.short

>Conclusion. Acute chilling of the feet causes the onset of common cold symptoms in around 10% of subjects who are chilled. Further studies are needed to determine the relationship of symptom generation to any respiratory infection.