There are quite a few cases where the English"I am (adjective)" translates to spanish as the equivalent of "I have (noun)". I am afraid→ tengo miedo (I have fear). I am hurting → tengo dolor (I have pain). We even have some like that in English - I have fun, not I am funning.

" Yo tengo frio" is like saying " I am cold". When talking about temperature, instead of using "Yo soy" you use " Yo tengo". When you are describing yourself you use "Yo soy". For example, the sentence " I am very skinny" is describing a trait about yourself. This sentence in Spanish would be translated to "Yo soy muy delgado". When you are talking about possesion of something, you would say "I have this toy". This translated to Soanish would be " Yo tengo este juguete". The only time you use "Yo tengo" when you are not talking about something in your possesion, is when you are talking about your body temperature. Got it? ♡

For some reason whenever you're describing how hot or cold you are, you use tener.

Don't ask me why!