Probably dating from the 15th century. Collected by Francis James Child in 1868 as Child Ballad #78. Morality: mourning too long (longer than "for twelve months and a day") disturbs the dead.
Bob Gibson [as Lost Jimmie Whalen; same subject]
Peter, Paul & Mary [as Jimmy Whalen]
Ween [as Cold Blows The Wind]
Golden Glows [as The Wind Blew Up, The Wind Blew Down]
Steeleye Span [here's this "twelve months and a day again"; see: All Round My Hat]
Vaughan Williams arranged the song as How Cold The Wind Doth Blow.