First, you need to know what a gerund is. It refers to a word form that looks like a verb + ing. So here, the gerund phrase is walking in the deep snow. Also, you need to know that gerund is practically a noun in a sentence, meaning that it can function as either a subject or an object of a sentence. Here, the correct answer is the subject.
If you are unsure, you can replace the phrase with a pronoun He, for example: He made me feel... And you will know it is a subject, because the object would be Him.