Insulate the frame of a door to stop odor outside while closed
Stopping the cold from coming in is a matter of stopping outside air from getting in.  Stopping air flow will also prevent odors from coming in, so most of the guides you see for "weatherproofing" will apply to odor reduction.

Note that a strong odor is much more noticeable than a little bit of cold air, so when following the guides, be as precise and thorough as possible to stop as much air as you can.