Its illegal to leave any car running unattended in this country too, and i'm sure its illegal to leave it idling while parked, even if your in it.
Thats highway code rule 123.
http://www.direct.gov.uk/en/TravelAndTransport/Highwaycode/DG_070304
As i say, its bad for the engine, and could net you a nice fine, not to mention wasting petrol. If its a bit cold, stick a pair of gloves on for the first 5 minutes of driving until the car warms up.