The episode takes place in the morning on a snowy winter day after Caillou wakes up. He has gone up to his room to play with Rexy. Caillou's Mommy and Rosie are going to the store to get some things including the ingredients to make a special surprise cake. Caillou comes along too. He wants to play in the snow and make a snow man and asks Caillou's Mommy if they are going to make a snowman later she says, Yes actually we are and then they head to store.
At the store, Caillou wants to get some cookies but Caillou's Mommy reminds him that they're making a special surprise cake, so they don't need to buy cookies too.
Later, they finish buying everything and head to the check out counter to pay for the groceries. Caillou really wants the cookies and goes to find them, but before he can Caillou realizes that he is lost and starts crying. Caillou's Mommy and Rosie then hear Caillou and find him and head to back to the check out counter.
In the end, Caillou doesn't find the cookies. They go home and Caillou's Mommy starts to make the special surprise cake. Caillou says he didn't like being lost at the store. Caillou's Mommy says she didn't like it either. Caillou still wants to make a snowman and then realizes that the special surprise cake is a snowman !