If you're thinking Yellowstone in Winter, be sure to check what is open. Most park roads are closed from November to early May. You can drive into the Mammoth hot springs area in Winter (from the Northeast Entrance in Gardiner, MT), and then need to go by guided snowmobile/snowcoach to see Old Faithful and the Grand Canyon of Yellowstone. I agree that it will be COLD in February there!
I've been to the South Rim of the Grand Canyon in early January when I was in college. We hiked through a foot of snow at the top of the canyon. Due to the high elevations (6,000-8,000 ft) in Northern Arizona/northern New Mexico--you can see plenty of snow there in winter! The North Rim of the Grand Canyon is closed in the winter.
That is great that you want to take your friend to see snow! We live in Massachusetts and just want to get away from the snow every winter! (I'll admit the first real snow is pretty...and then after shoveling it over the next 3 storms, I've had enough!)