I have a Mediterranean Cypress Tree I got as a gift for the holidays, how do I care for it in Colorado?

Ah, you are a bit too cold there for it outside except as a summer plant........unless you have one heck of a microclimate that will bring you to zone 7 or 6b. I guess you could plant it and wrap it, but realize it is one big tree! When it flowers it is a major source of irritating pollen. Right now it needs as much light as you can give it, since it is inside it is not dormant so no sticking it outside during the day. Keep in a moderate temperature that drops at night. Being Mediterranean, it doesn't need to be completely wet, water and wait before watering again.

It will not survive outside, even with winter protection, in your climate.

Treat it as a potted plant. But it in your sunniest window in the winter, and you can bring it outside in late spring, when chances of freezing are past.