Could be two things:
1) Your battery is so old that its cells can no longer hold charge when the temperature gets that cold (what is CCA and CA rating?) You could have also bought a battery that is not rated for that cold of a temperature though I think that is impossible now a days.
2) You ARE having a voltage drain from somewhere. Check your trunk and glove box lights as they are very problematic and the sensors can go bad leaving it on all the time.
Do you have an aftermarket alarm system? Hell, even a stock system can drain an old battery. I used to drive a Civic Si (Laugh all you want, I got 33 mpg) and after I went on a weekend trip (3 days later) I got home and the car wouldnt budge from me arming the Honda alarm system.
Take it to Oreilly's and have them do a charge system test also to make sure your alternator is working fine.
E0 #4384 of 6535
Born Jan. 9 1998
My SVT from the ashes
147,466 miles, purchased Nov. 2002 @ 76,559 miles