Hi Jen,
It's great that you've found a way to keep your exercise program on track. If you're out of breath than you're probably working with some level of intensity, which is very important if you want to make progress. Yes, you are burning calories at the rate you are walking presently.
Generally, walking 30-40 minutes with some level of intensity, even when it is pretty cold out, should make you break a sweat. To make your walks slightly more difficult, try incorporating interval training. Go at your normal pace and every 3-4 minutes pick up the pace for 30 seconds to a minute and then slow it back down to your normal pace. Also, walk a course that incorporates some slight inclines along the way. These things will force you to work a little harder and thus burn more calories.
Stay focused! The weather will break before you know it and think how great you'll feel in a few months when you can exercise outside and shed some of those winter clothes.
Good Luck,
Paul