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Ducks have very little muscle in their feet, mainly tendons. This means that the muscle which makes them move is further from the feet and better insulated, and there's less in the feet to keep warm. Ducks also have a very clever circulation system, where warm blood going down to the feet goes closely past the cold blood coming back from the feet. This is called a counter-current heat exchange as heat is exchanged from the hot blood to the cold, meaning that the birds do not lose too much heat through their feet.
There is some suggestion that they also make an anti-freeze compound in their feet called Ethylene Glycol, which stops the blood in their feet from freezing by lowering it's freezing temperature. Natural anti-freeze chemicals are often seen in fish that live in freezing waters.
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