Omg! This song has absolutely nothing to do with murder, trust me! Nor is it about a woman having her period! Grow up!
It's about remembering what it was like when we were kids, about having fun in the snow, back in the days when you were just carefree and everything was magical! That world of make believe and pretend where nothing is ever quite what it seems!
As for the screaming part, have you ever had such a good time or been so excited that you literally "SCREAMED" with delight?
Kids always scream, especially when they're having fun!
I know I did when I was young (heck, sometimes I still do!)!
Peace.