if you have no pressure at all you have to figure out if your pump is shot or not, but once you know the pump is working and during really cold weather you do not want to turn off any flows you might have if they are in danger of freezing. it is much harder to get things unfrozen again if there is no flow at all.
if you do end up with a broken pipe then yes you want to shut things off if you can as you don't want to flood the house or cause other problems on the property, but if you can isolate the break and get that repaired ASAP before the plumbing freezes that is the best thing that can happen.