To shut your pond down, first unplug your pump and pull it out of the water along with the check valve. Clean the scale and debris from the pump. Next, store the pump in a frost-free location, submerged in a bucket of water.
If you have fish, a small re-circulating pump that bubbles at the water surface is necessary to oxygenate the water. It is important to place the pump on an upper-shelf of the pond, and not at the very bottom. In all but extremely low temperatures, the bubbling of the pump will also keep a hole open in the ice to allow for a gas exchange, keeping your fish alive.
If your area experiences long periods of extremely cold weather, you should add a floating de-icer. Controlled by a thermostat, the unit only runs when the water temperature is at or below freezing, heats the water to just above that, and then shuts off again.
If you use a floating de-icer and a bubbler, keep them near eachother but not stacked on top of one another as the movement of the cold water will make the deicer run longer than necessary.
You can also choose to keep the waterfall running. This will require a little babysitting to make sure an ice dam does not form which could cause water to run off of the waterfall. You will also need to add water regularly to ensure the pump will function properly. This extra effort during the winter will reward you with the most beautiful ice formations and patterns around the falls and streambeds.