some people take them down some just take the top off... I normally just took the top off of it. Honestly, I was always worried about how it would handle in storms, the sides got tore up because I have a 4 year old that thought it was fun to un velcro them and let them fly around.... It has ancher holes where I screwed it into the deck and it never blew away... Honestly, I would at least take the top off if there's a tornado or something but at that point, thats the least of your concerns.. I did leave it up one winter and it did fine with the snow, but I probably wouldn't recommend it.
But hey, if you were thinking about it... here's a 500 dollar one for 50 bucks. sure it's faded but you can see how it does for you :-) The legs on this are alot larger than the cheap ones and don't twist like the cheap ones.