Quick answer
“In winter” and friends use the bare instrumental: зимо́й, весно́й, ле́том, о́сенью. No preposition at all.
The seasons
In that season
What happens
Talking about the year
О́сень is feminine
Three seasons behave as you would expect; о́сень ends in -ь and is feminine, which gives the unusual instrumental о́сенью with no ending vowel. Compare но́чью — at night, from the same noun type.
The Russian calendar year
Winter in Russian terms is December to February, and it is long: snow often lies from November to March. Весна́ means slush as much as blossom, and the brief ба́бье ле́то — “women’s summer”, our Indian summer — is the warm spell in September that everyone looks forward to.
Typical mistakes
в зиме́
зимо́й
Seasons take the bare instrumental.
в о́сени
о́сенью
Same rule, feminine -ь form.
Check yourself
How do you say “in autumn”?