Climb when cold and finish (6)
I believe the answer is:
ascend
'climb' is the definition.
(climb can mean to ascend or go up)
'when cold and finish' is the wordplay.
'when' becomes 'as' (eg 'when I walked' means 'as I walked').
'cold' becomes 'c' (eg on taps).
'and' means one lot of letters go next to another.
'finish' becomes 'end' (synonyms).
'as'+'c'+'end'='ASCEND'
(Other definitions for ascend that I've seen before include "shift to a higher plane" , "Come up" , "Gain height" , "Climb, go up (6)" , "Travel upwards" .)