The sentence structure of the original sentence is wrong because it is a run on sentence. The sentence has two complete thoughts/ideas without the proper punctuation between them. The first complete thought is "Winter is coming". The second complete thought is "I need a new coat." These need to either be joined with a semicolon or a comma and conjunction. The first answer uses the semicolon to join the two complete ideas into a compound sentence. The second correct answer uses a comma and conjunction, so, to join the two complete ideas. The last correct answer creates a dependent clause by beginning the sentence with "because". Then the comma shows the separation between the dependent clause and the independent clause.
