Why don't penguins' feet freeze?

Their feet are warmed by blood vessels that carry warm blood from their body. However, to conserve heat, the penguins have evolved counter current heat exchange. Counter current heat exchange works by bringing a vein and an artery into close proximity to each other through evolution. When they lie close to each other, heat can transfer from one to the other. Arteries carry warm blood from the heart and as the blood flows towards the cold feet, some of the heat is lost to the colder blood that flows in the vein next to it. As the blood continues to flow towards the feet, it continues to lose more heat to the vein lying next to it because the venous blood that is closer to the feet gets even colder. The heat that is lost to the vein is carried back to the heart so that when it gets to the heart, it is not as cold as it was when it started at the feet. Counter current heat exchange therefore makes sure the feet gets enough heat to keep it from freezing, but not so much that the bird's body temperature may be lowered.

Penguin's plumage is thick and covered with an oil like substance that protects them from -0 degrees and below: hope this answer will help you