Snow should fall from the clouds when temperatures are below zero. Not necessarily.
Most of the year, rain that falls at ground level is snow from higher elevations. However, it melts as it encounters warmer atmosphere on its descent. When the temperatures are low enough to freeze snowflakes, it can fall all the the way to the ground. There may be sub-zero air near the surface, but a warmer layer at the top.
Snowflakes become brittle as they fall through warmer air. But their temperature drops again when they reach the colder, lower air. Supercooling can occur, where the droplets are still liquid at temperatures below their usual freezing point.
These supercooled droplets can freeze on impact and form a film of water, hence the name freezing rain. Freezing rain is dangerous as it can bring down power cables and trees. However, it can make for some spectacular photos. Frosty rain events are uncommon in the UK. They are usually limited to a very small area and short-lived.