As unintuitive as it sounds, "winter squash" does not grow over the winter. Both summer and winter squash are very frost sensitive and must be grown during the summer. The winter squash gets its name from the fact that it develops a very hard skin when mature and can be stored over wintertime.
I feel your pain of wanting to grow "substantial" vegetables for the winter! I sure wish I could! What you can do next year is grow both summer and winter squash, and the winter squash will last through the winter, provided that you grow enough of them.
But for this winter, I'm afraid you'll just have to make do with the leafys and the roots. Or head to the grocery store (shudder).