Cold wars occur when two superpowers, for example the USA, Russia or China, are aware that a "hot war" (with guns and ships and bombs and whatnot) would cause what is known as MAD, or Mutually Assured Destruction.
The only cold wars in human history have occured between nuclear superpowers, and all of them have been in the last 80 years.
While a hot war has people on the front lines, actually fighting each other, a cold war is primarily espionage (spying) and stealing or sabotaging technology and weaponry.
The Space Race, for example, was a major component of the Cold War between the USA and USSR. Rather than fighting a normal war, the countries instead competed with technology.
The Vietnam War and Korean War are what are known as "Proxy wars", which is when two superpowers in a cold war send supplies and troops to opposing factions of a smaller, regional war. Due to the nearly unlimited military budget of most superpowers, proxy wars are some of the most deadly conflicts in history.