A "cold opening" is TV-industry jargon
for an introduction that lacks credits or titles. In other words, the show just starts
, and they wait a few minutes to tell you what you're watching.
Lots of shows start this way -- Saturday Night Live is a good example. You're thrust into that introductory sketch without any indication that the show is starting, or that it's SNL that you're watching. Going from memory, I think Mission: Impossible and all the Star Treks have had cold openings as well.
It's not that they're trying to trick you or anything; it's just one option for how to start your show. The alternative is to open with credits, theme song, or announcer -- The Tonight Show and its ilk don't use cold openings, for example, and neither does The Simpsons.
There's probably some disgusting anatomy-related joke to be made here, but it eludes me.