There are several reasons we catch cold. It is important that you find out what made you cold so in the future, you avoid it.
For me, taking a cold bath using a shower and not using a towel immediately gets me cold, being in the rain or being in an Air Conditioned room makes me really cold.
There are several things to do when you have a cold, some of which are:
Take Cover: One of the things to do when you have a cold is to take a warm cover. It could be, covering yourself up in a blanket or simply covering yourself up in something warm.
Taking Tea/Coffee: Taking tea/coffee can actually reduce the cold that you feel. It is hot and can help reduce the cold.
Medications: There are some kind of cold that could lead to another problem if not treated immediately. Taking medications helps reduce the cold.