Run through cold in country road (5)
I believe the answer is:
lance
'run through' is the definition.
(thesaurus)
'cold in country road' is the wordplay.
'cold' becomes 'c' (eg on taps).
'in' means one lot of letters goes inside another.
'country road' becomes 'lane' (I've seen this before).
'c' going inside 'lane' is 'LANCE'.
(Other definitions for lance that I've seen before include "Knightly weapon" , "Long pointed weapon of old" , "Jousting weapon" , "Long-shafted weapon" , "Long, pointed weapon (5)." .)