What is cold storage crypto?

Could you elaborate on the concept of "cold storage crypto" for those who are new to the world of cryptocurrency? In simple terms, what does it mean? How does it differ from traditional methods of storing digital assets? Are there specific risks or advantages associated with using cold storage? And finally, could you provide a brief overview of the steps involved in setting up and using cold storage solutions? The information would be especially helpful for those seeking to enhance the security of their crypto holdings.