Head Mounted Displays (HMDs) provide a promising opportunity for providing haptic feedback on the head for an enhanced immersive experience. In ThermoVR, we integrated five thermal feedback modules on the HMD to provide thermal feedback directly onto the user's face. We conducted evaluations with 15 participants using two approaches: Firstly, we provided simultaneously actuated thermal stimulations (hot and cold) as directional cues and evaluated the accuracy of recognition; secondly, we evaluated the overall immersive thermal experience that the users experience when provided with thermal feedback on the face. Results indicated that the recognition accuracy for cold stimuli were of approx. 89.5% accuracy while the accuracy for hot stimuli were 68.6%. Also, participants reported that they felt a higher level of immersion on the face when all modules were simultaneously stimulated (hot and cold). The presented applications demonstrate the ThermoVR's directional cueing and immersive experience.