Global warming is not equivalent to warm weather at your location in March or any other specific time frame. Global temperatures on average have been observed to be increasing. This will affect your daily weather in complex ways that are probably impossible to determine at such a fine scale as that used by your local weatherman.
Due to simple physics, as CO2 and other greenhouse gasses increase in the atmosphere, a larger portion of the sun's energy is being reflected back to the Earth rather than escaping to space. If it helps, imagine that climate is weather averaged over a long period of time. While this week may be memorably colder than in previous years for you, it is more likely than not that the temperatures you've encountered this week do not represent the coldest temperatures in recorded history. However, for any given week of the year, the warmest recorded temperatures at your location is more likely to have been recorded recently.
If you're interested, I recommend reading this article by Phil Plait: http://www.slate.com..._on_record.html
Please note that while global average temperatures can easily be shown to be higher than ever before in recorded history, this does not mean that you can't or shouldn't expect to find local variations that are colder than normal, or even colder than recorded history. However, the incidence of coldest in history is far outweighed by the incidence of warmest in history, and climate is the average of weather over time.