I have had that problem for years. Some cars are worse than others. I use a silicone spray to lubricate the rubber seal around the door. It is freezing to the car door frame. I spray an old sock and rub it over the entire rubber strip around the door. Make sure you get all areas of the strip. I do this about once a month during winter.
I have broken the door handles off a car trying to get the door open because of this. A mechanic at a car lot showed me the silicone spray trick. If your door is already frozen shut you can spray some windshield de-icer around the edge of the door to try to defreeze the weatherstrip. The rubber seal around the door is also called the weatherstrip and door gasket. It seals around the edge of the door to keep water out.
Try the silicone spray, it is available in the auto department of most stores.