How are Cold Wallets made?

I'm interested in making my own Cold Wallet.

Learning about this topic has been difficult because Google just spits out basic how to articles on how to buy and set up a crypto wallet.

TL;DR So in as brief as possible I'd like to know the general concept of how cold wallets are made. **

Example questions to answer:

What is the software on the device for?

How does a cold wallet differ from any other storage device such as a hard drive or USB, or secure encrypted USB?

Looking to learn about whatever the programing process is to make a cold wallet.

Thanks in advance.