From Longman Dictionary of Contemporary Englishtake/need a cold showertake/need a cold showerSEX/HAVE SEX WITHused humorously to say that someone is sexually excited and the cold water will stop them feeling that way → cold
Examples from the Corpus
take/need a cold shower• He put water on to boil and took a cold shower.• In the morning, when you get up, take a cold shower.• There is one foolproof way to rid yourself of this - take a cold shower.• Instead he took a cold shower and a huge mug of coffee, and tried to sort out his thoughts.• I took a cold shower and changed my clothes. 