I think the Cold Weather payment of £25 is very odd but then I think many of these payments, particularly the £10 Christmas Bonus are very of and smack of Victorianism.
I think it was paid out once in our area last winter and I'm sure those who received it were very glad. You get it if the temperature in your area dips below 0°C for seven or more consecutive days between the 1st of November and 31st of March.
The people who may be entitled to it are people on:
Pension Credit
Income Support
income-based Jobseeker’s Allowance
income-related Employment and Support Allowance
Universal Credit
Support for Mortgage Interest
If you are getting any of these I suggest you check but, of course, it may just not have been cold enough for a continuous 7 days in your area.
Interestingly the Labour Government increased the rate from £8.50 an eligible week to £25 a week as a temporary measure for winters 2008-2009 and 2009-2010. In 2010, the Coalition Government made the £25 rate permanent and it has been "frozen" since then.