Learn Italian: Ho freddo al collo.

In English, we use the verb "to be" for physical sensations like being cold, hot, or hungry. In Italian, you use the verb avere (to have) for these feelings. Ho freddo literally translates to "I have cold."

The translation says "My neck", so why isn't there a word for "my" in the Italian sentence?

When talking about parts of the body, Italian usually drops possessive adjectives like mio (my). Because you already said ho (I have), it is obvious you are talking about your own neck. The sentence just says "the neck".

What does the word al mean in this context?

It is a combined word made by gluing the preposition a (at or to) to the definite article il (the). So al collo literally translates to "at the neck."

This lesson is about reflexive pronouns like mi. Why don't we use one here since it is about my own body?

Not every sentence about your body uses a reflexive verb! You only use reflexive pronouns for actions you do to yourself, like washing your face or brushing your hair. Since feeling cold is a physical sensation rather than an action you perform on yourself, Italian just uses the standard verb avere.