Basement question?

I have a question and someone out there may have an answer. Our furnace is located in our unfinished basement. There is a large pipe (8 maybe 10 inches in diameter) that leads to the outside of the house. The outside end has a cover with slats to keep animals, etc. out, but allow air in. The inside end of the pipe has no cover at all. The problem is that my kids like to play in the basement, but during the winter it is freezing down there. The cold air actually blows on you.

So here is the question. I realize that the pipe is there for ventilation, but can anything be done to help limit the cold air blowing in? I worry about the pipes freezing down there in the winter. If you have finished your basement it seems to me you would need to do something if it were to be living area. Does anyone know what can be done?