When I'm in shower and I want to open the cold water on myself suddenly I make my muscles so tight before I open the water and that helps so much in being able to handle the shock. Why does tightening of muscles help in handling the shock.
Consider most animals instinctively recoil from unpleasant sensations. Resisting this often involves tightening the muscles. Think about the last time you had to get a shot or pull a splinter out of the skin, you often tighten the muscles in an attempt to resist your own instinctual reaction. Even non-physical reactions like resisting fear or disgust often have similar responses, the mind and body do affect each other. Physical actions can effect mental states. Tensing muscles has been shown to have a direct effect on our willpower.
Your question can be answered by focusing on both 1) physical, and 2) psychological changes that occur when you tighten up your muscle. Of the two, psychological changes
Muscle contraction generates some heat which may account for a very small sensation of heat; however this heat can't be so much to actually prevent cold sensation. Moreover, muscle contraction can insulate the visceral organs (imclitsong the blood vessels) to lose heat due to conduction. Again, this is not very effective for your situation.
Mammals tend to curl up when the ambient temperature is low. This will prevent heat lose from the core. By contracting the muscles, you feel good and sense warmth as this behavior is associated with warming up. Therefore, you won't feel the cold as you get exposed to cold water.