Not 100% sure about X10 but I don't see why it won't work...
Anyway, after building a game navigate to Files>Languagebank>english>gamebank>(name of game)>setuplevel.fpi
In the .fpi file, there should be aline that looks like this:
:state=0:fog=0,fogred=100,foggreen=100,fogblue=100
change the "fog=0" to "fog=1" that will make the level have fog. Now, I presume that you want the fog to be white, bcause of the snowy enviroment. So to make it white you change the values in the line, "fogred=100,foggreen=100,fogblue=100" to "fogred=0,foggreen=0,fogblue=0".
That should make it white, if it turns out pitch black, then that is my fault it should have been 255 for the values, but I'm pretty sure it's 0.
That's how you do fog...
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