When hopelessly lost, do the following, UNLESS there are sound reasons to do otherwise:
Stay in the location where you first realized that you were lost.
Send off emergency signals: THREE gunshots and/or whistle blows. Pause, then repeat.
Make a fire IF conditions permit.
Stay as warm and dry as possible.
Make and consume warm/hot liquids as circumstances allow. Even hot water is good.
If necessary, make a very simple shelter
Protection from high winds and cold rain are the main concerns. If there is sufficient snow cover on the ground, use a stick to cut blocks to set up a small, square seating shelter. Use pine branches for insulation under feet, seat and behind your back.