Maybe I was doing it wrong but I do not know how - I started with just showering my legs with lukewarm water and progressed to colder water and longer time gradually, very slowly. However, it never made me feel as good as some people here descibe. Sometimes I felt slightly refreshed during the summer but more often I just felt cold and stiff and I had strong desire to return to bed to warm up but I could not do that and I had to sit in my office cold and miserable for hours.
Maybe cold showers are not for everybody?