Well, you can try.
Here is how I would go about it.
1) As soon as the flowers start to fade, trim them off. Do not give the plant ANY chance to set seed.
2) Cut them back pretty hard in the fall.
3) Bring them in the house to protect them from the cold. Keep them in a sunny window, and be careful not to over water.
4) When the weather has moderated in the spring start taking them outside for a few hours a day, not in the hottest sun. Bring them back inside in case the nights are still too cold. After a week or so of this they can probably stay outdoors if the nights are milder, and in more sun.
If you have several plants, then I would let at least one (the best color) go to seed and collect the seed. Start the seed a month or more before the weather will allow them to go outdoors so the seedlings will have some growth before you set them out.
Not a true annual, surviving winter is the only trick. I usually do that by bringing plants inside. I don't try to prevent tender perennials I'm going to bring inside from making flowers, like Impatiens, polka dot plant (Hypoestes,) Begonias, Coleus, various Plectranthus, Kalanchoe blossfeldiana.
Outside, you'd want to use/create a spot that's more warm and dry (or well-drained) than usual, the most common 2 elements of successful microclimates/zone-pushing. If frozen ground is not why they are not usually hardy where you are, it's likely a moisture issue, more tricky to control. Going after the drainage angle would help in that case, keep adding organic matter to the soil surface.
Other measures like putting some dark colored bricks or pavers around plants, cold frame, turning a dark nursery pot over them, black plastic jugs of water, pile of leaves, can make a difference if you're battling the ground freezing.
I think that in the UK it gets cold enough that you will have to bring them in, though if you have a protected spot then try some with all the ideas purpleinopp suggests to keep them warm and not over watered.