Can somebody please explain the movie name?

There's the literal sense of her finding her father's bones in the Lake during the Winter.

But there's also a more idiomatic sense: in English, there's an expression "to throw someone a bone" which means "to help someone out." Winter theoretically "throws her a bone" by the end of the movie by finding her father's remains and getting to keep her house, and both of her siblings.

Terrible title! I kept passing this by because of the title. Film makers know that the title is very important so I don't know why they couldn't come up with something better. Very glad I finally watched it, excellent film.

The expression "to the bone" means to the extreme, the ultimate, the core. Cutting meat to the bone is to strip away everything else. I believe the title refers to the extreme coldness of not only winter, but also the horrible characters who live in this place.

Per the trivia section for this movie:

the title comes from an old Applachian expression -"like a dog digging after a winter's bone" - indicating someone who, like Ree Dolly, is on a search or quest for something and will not give it up.