If the snow is thin, you're just going to dig down to the dirt and use any normal stake.
But in deep snow, assuming you are in a forest, I bury a stick, about 2" diameter, horizontally in the snow, oriented perpendicular to the tie-out. After you bury it, stomp on the area and give is a half hour to consolidate before putting a load on it.
If no sticks are available and the snow is heavy, you can use a 1 foot square of silnylon for a snow anchor. Just fill it with snow, bury it, stomp it and wait for it to consolidate.
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