Sounds like it just splices into one of your sensors. It's probably just spoofs your IAT to make your car think it's colder outside and add timing. IIRC, our PCM's don't add timing at lower temperatures, so if this is how this device works it won't do anything. If it did add timing, you'd just get knock and your car would reduce timing to compensate.

The right way to do it is to reflash the PCM. There are plenty of vendors that sell reflashed PCM's (DHP, Intense, Overkill, WBS, ZZP), and most cost about $99.