I used to be a landscaper and have put quite a few ponds in during my hay day...I also live in Wisconsin, south eastern part, so I know the weather you will be facing more or less. Those links from Sniper are good, check them out. Usually, around these parts, people are forced to bring fish inside during the winter, or heat the pond so that the ice isnt incredibly thick anyways. The general rule of thumb is to make a pond as deep as possible if you want to keep the fish in there year round. However, there are some city, state, and even federal rules that limit how deep you can go.
The premodeled pond liners are going to be too shallow for keeping fish in all year, usually. Otherwise, they would be swimming pool liners,
. Most people can find moldable liners though made from EPDM rubber, which is also used as a roofing material becuase it doesnt leak and is easy to glue together, without having the seams leak. In those cases though, you are going to want to make sure you use only very smooth stones in the bottom of the pond and you will most likely want to layer the pond one stone at a time rather than just dumping them in. Water, when underground, has a very funny personality and if your pond is leaking, and is large enough, you may not know until the neighbor from three houses down has his/her basement flood so be careful.
The waterfall systems are actually pretty easy nowdays, but you would have to do quite a bit of digging to get a drain box at one end of your pond connected to the waterfall, usually situated at a higher level (let gravity do the work). The good news here is that moving water is less likely to freeze as deeply as still water, and by having the drain box underground, you can heat the water a little bit cheaper than just dropping a heater in the middle of the pond. A lot of people will use multiple airation pumps (look like little fountains in the middle of a lot of ponds) in the winter around here to keep their pond water moving and I would suggest at least one for you depending on how big the surface area of the pond is.
Also, as a side note, if your pond is bigger than a birdbath, expect to find some fish that you did not put in there to come around once in a while. With the big goose migrations and other semi-aquatic birds in the mid-west landing in any water they can find, they are likely to bring some fish eggs on their feet once in a while so be sure to have a plan for that in case the odd fish is a preditor or will hurt or harass your koi (assuming that is what you would want in there)
Good Luck. If you get around to doing it, make sure you take lots and lots of pictures!
