Hi Kariem, You would say "on a cold evening".

They're all wrong. You left out the "a". On a cold evening.

It depends on what you want to say. For example... It happened on a cold evening. In the evening when it is hot, I turn on the air condition. At 6pm this evening, we will go. I hope this helps!

On. But, actually, it would be "on a cold evening".