I've been here 11 years now and it's not bad at all. The Spring, Summer and Fall are beautiful and the daytime temps run 45˚-103˚ (sometimes). Montana in general and Helena specifically is geared to outdoor activities. Boating and fishing on a Blue Ribbon trout stream are 20 minutes from town. Hiking trails up in the forest ring the south and west borders of town. You can change clothes at work and be hiking 10-15 minutes later.
Winters vary. Usually the lows are from 5˚-25˚ above and the highs run from 35˚-55˚. We usually get a week or so of bitter cold weather and people just adapt. If your car is set up right and you have the right clothes you just go through it. Nobody whines, nobody complains... unless they haven't done what they should have to be ready for it. You can talk to the native Helenans and they'll help you get that figured out in the early Fall so you're ready for anything when Winter hits.
During the Winter months, we have skiing/snowboarding about a half-hour away, snowmobiling, snowshoeing, sledding, and ice fishing. We also have a bowling alley and several health clubs to choose from.
All these things make Helena's weather just about perfect.