To grow fall or winter lettuce in Denver, most years, you will need either a greenhouse or cold frames. Of course, in drought years, when the snow is slow coming, it's possible to grow them conventionally until the snow falls.
In those drought years, you can plant fall and winter lettuce directly in the garden just as the summer crop is planted. Be sure to border the sides of the plants with straw or mulch as they grow. You may also need to cover the plants in extremely cold weather. Remove covers during warmer days to expose plants to the sun.
If it's not a drought year, you don't have space for a greenhouse and don't wish to build cold frames, fall and winter lettuce can be grown indoors. Just place pots near an un-insulated window so they receive both sun and cold temperatures. Cold snaps will improve the flavor and crispness of lettuce. It is important to protect the lettuce from prolonged or extreme freezing.
I find that leaf lettuce works best for fall and winter planting and growing. If you find summer leaf lettuce bitter, don't worry. Lettuce grown in the fall and winter doesn't present that bitter flavor or wilty texture the heat promotes. Check the labels on seed packets to find the best lettuce for fall and winter growth. Some are even labeled as winter lettuce.
Fall and winter lettuce planted directly in the garden in non-drought years, must be surrounded by a cold frame or greenhouse structure. My container and raised bed garden is set up so that I can add plastic covering in the winter months. A very simple cold frame can also be constructed using heavy plastic and 2x4 plywood. Glass frames will keep fall and winter lettuce warmer on severely cold days.
Lettuce can be planted about every three weeks to keep a continuous supply going throughout the year.
In severe winters, to avoid bending and working cold winter soil, I sometimes grow mine in window pots. I plant about four pots at a time, rotating pots for continual new growth.