The inside air touching the window transfers some of its heat to the window glass. As the air cools down it becomes more dense and descends down the window pane. The inside air which is now flowing down the window pane in turn transfers heat more quickly by means of natural convection to the window glass. Glass being a pretty good conductor of heat transfers this heat to the cold outside air which if the wind is not blowing is creating a natural convection of its own on the outside of the glass, and if the wind is blowing the heat is being transferred even more quickly by forced convection.
What does this all mean? When you have the storm windows down or double-pane glass, there is an extra buffer of air in between 2 panes of glass which makes the transfer of heat slow down. Air turns out to have a very low heat transfer coefficient, or in other words, it does not transfer heat well compared to solid objects. So this buffer of air slows down this heat loss through the windows greatly especially if the air buffer is not large enough to allow for natural convection, which is the transfer of heat through the movement of the air over the glass caused by changes in local air density.