Yeah there's a couple things I would recomend doing for training/your first race.
As for swimming in the winter I'd say find a pool at a local health club or community center that's indoors obviously. Along with this though I would also recomend training for the swim section/running portion in whatever you're going to be wearing during the actual race. So unless you want to shell out the money for a tri-bib, use your bike shorts. This may sound kind of odd at first but if you can find a pair of shorts with a thinner chamois, it really is a big help. You're guarnteed to get some strange looks in the pool but it's worth it beause during race day, you won't ahve to waste time in the transitions changing. Also another thing to keep in mind is the transitions. Most all races go swim, bike, and run but the transition area is the same for all three. If you can go down and check out the course/transition area to get a good idea of what you're going into/coming out of it helps out a ton. On raceday, get there as early as you can to get a good spot in the transition area. Think about how you're going to be coming in and out and where you want to put your towel, your energy gel/water, your shoes etc.. Practice coming in and out of the transition so you can get a feel of what's going on. Another thing to keep in mind is after the swim, there's usually a 400 meter or so run to the transition from the beach or wherever the swim ends. Obviously you don't have shoes on so running can be a bit tough but do your best (there is no real way to practice this). Stay hydrated through out the race which may seem like a no brainer but it's always stressed on raceday.
As far as training goes, keep track of what you're doing whether be it on paper or in your head. It's alot easier to compare what you're doing to the length of your race. Also practice transitioning. Get used to getting off your bike and running or walking into a transition (usually works best if you have someone else to hold the bike while you run). It's really a weird feeling going from biking to running. It's really hard to do and the best way I've found to combat it is when you're coming into like the last maybe 400-500 meters of the bike or so, shift your weight forward on the seat (scoot up) and downshift to a low gear and pedal really fast. It gets your body in more of a running position and helps work the muscles in your leg that you'd use to run. Of course this isn't a perfect method and it will still be weird transitioning but it helps a little bit.
As far as a good first race goes that's totally up to you and what you think you can do. Don't shoot to break a world record time your first race but more think about whether or not you actually like doing this. I've talked to some people who paced really well but after the race and just hated it. Usually Supersprints are the way to go for a first time. They are some what few in numbers but worth going to. It's a 400 meterish swim, 6.2 mile ride, and a 1.5 mile run. They're alot of fun to do whether you're experienced or not (Most people who do these aren't). the next step up would be a Sprint which is 800 meter swim, a 13.1 mile ride, and a 3 mile run. Of course these numbers are approximate being that each triathlon is usually a little difference in length. The one I would recomend doing is the Fleet Feet Supersprint Triathlon. The only problem is it's really late in the year (End of August this year it was the 23rd). It runs on the day before the actual Chicago Triathlon. Obviously there are going to be other races that catch your interest earlier in the year but sign up for this one as early as you can because it's limited space and fills up quick. There's also a really good multi-sport expo (supposedly the largest in the world) that goes along with this race which I would recomend attending even if you're not going to be racing at all.
I hope I answered some questions you had if you have anymore please by all means ask away.