Step one:
Open a new image with white background and apply the Filter-Add Noise with Gauss 12, monochrome checked.

Step two:
Now go to Image-Adjust-Threshold, setting it to 230

Step three:
Next use Image-Adjust-Invert

Step four:
The next step will give us something like snow feeling: Apply Filters-Stylize, Wind/from left

Step five:
Now go to Image-rotate canvas 90°

Step six:
Next step is to make it more realistic... snowstorms don't happen vertical :-) Let's apply Filter-Distort-Shear looking at the screenshot to get an idea of how to set it!

Step seven:
The result looks pretty fine, but not usable if it's only on a black background :-(

Step eight:
Here comes the magic in: After placing a background of your choice on a new layer behind your snow-layer, apply the Blending Mode "Screen" for the snow layer. You will see that it's just leaving the snowflakes inside the image!!! Whatever you place behind, it will shine through. In the end we make the snow more visible: Go to Image-Adjust-Brightness/ Contrast and set only Contrast to a setting you like... As you can see, you'll get a bunch of possibilities now... I tried an old ship's bulleye to look through at the Bahamas getting white :-)

Step nine:
Have fun! [phunk]