Actually it has to do with the thermo conductivity properties of air vs. water. Dry air is very poor at conducting heat energy transfer. That is the whole idea behind insulation for your home. Water on the other hand is very good at transferring heat energy.
The simplest example I can give is you can sit in a sauna with the air temp at 150 degrees for 10, 20 or even 30 minutes, but try and put your hand under a faucet that has water coming out of it at 150 degrees and you are going to be in a lot of pain.
Or walk outside in just your street cloths with an air temp of 33 and you will feel the cold, but not get really frigid for a minute or two. Jump into water that is 33 degrees and you will feel it instantly.
The same principal works with with dry air vs. humid air. The more moisture it has in it, the better it can transfer energy. So dry air at 45-50 degrees will melt snow a lot slower than humid air at 35.
-John
