First, I think you mean "sleigh" or "sled," not "sledge." :D
You have a great start here! I think most advice will be somewhat subjective, but here are a couple thoughts:
Try a different, more contrasting color for the outer body of the sleigh. The copper kind of clashes with the red seat. Also, I'd love to see that leather seat pop more saturated with red.
The snow/frost on the body is decent, but maybe a little too evenly distributed. I imagine in real life you'd get more snow built up on the front and underside, not much on the back or the railings.
The skis have very hard edges for the model and the texture mapping. Try beveling them slightly and blending those edges a bit.
The lighting is not bad, but maybe could be enhanced with a little backlighting. It wouldn't hurt to cast a real shadow onto the snow rather than the PS drop shadow.
FInally, the ropes are not very believable. They need some texture and bump/displacement to give them a braided look. The knots look extremely loose, like they would just fall apart.
Hopefully that's all helpful! Like I said, you're doing great so far, just needs some tweaking.