Go to snowman's land, the one with the big snowman. Climb up the moutain and let the snowman blow your hat off. Then go to the two warping trees next to the frozen pond. Go through them and the cap will have another hat on top of it. Once you get your hat, there will be another one on the ground. Go get that one and Mario will have it the rest of the level or untill you exit the game. Mario can use his hat as a weapon, it does double damage to enemies.