Apparently the odor doesn't affect your co-worker like it affects the rest of you all. First, tell him he should show consideration for his co-workers.
In the work environment there is usually a hygiene standard.
Personally, I would confront the person, if that doesn't work, then let your supervisor handle it.
If all else fails, open ALL the windows. It's winter and freezing... he'll wonder why all the windows are open; simply tell him: "That cologne of yours is making me nauseous, and giving me a headache. If I go home sick would you be willing to take on MY workload?"
He should definately get the point then.
Peace