Frank, It is a philosophical joke. The penguin is always warm because of his exellent coat of feathers. He decides to pull down his hair (feathers actually). Now, maybe for the first time, he understands what it means to be cold. He says "How cold, oh". The bear is naturally warm because of his warm fur coat. He wonders what it feels like to be cold. How does the Peguin feel?. He pulls down his hair. The bear says, "So cold!" Now he understands how the Penguin feels. Your understanding of how others feel is incomplete, until you experience exactly what they feel. In English, there is a saying, DON'T JUDGE A MAN UNTIL YOU HAVE WALKED A MILE IN HIS SHOES.