Cold (or thermal) bridges are cold places around walls, windows and doors where there are gaps in the insulation. These gaps can lead to problems with damp, condensation and black mould and cost you money with extra energy bills.
Where builders once screwed windows into solid returns (the narrow piece between the window frame and wall), they now tend to slot them into insulated cavity closers which sit within the cavity wall which prevents the cold and damp from entering.
Alternatively they can close gaps at the window reveal (the surround of the window that secures the window to the wall) with insulated plaster board which warms up the surface and helps to prevent mould forming.
Your builder should know the correct method to prevent issues and your building control surveyor will be looking out for potential cold bridges on their site visits.