I have a '97 convertible Sidekick JX and when the front wheels are locked, and the temperature outside is very cold (-15C or below) I get a whizzing noise that comes and goes on the fron left side. If I shift from 2wd to 4wd or back the noise stops but eventually comes back.

It makes the noise in both 2wd and 4wd.

It started LAST winter and I drove it all summer, sometimes in offroad conditions and with 4wd on. No noise. Only makes it when it's very cold outside, again, below -15C. (about 0-5 F)

Is this BAD?

Maybe think about changing the diff oil, if there is any left. Sounds like the diff in binding.