It's different from the Windmill in Don Quixote
There is an old legend saying a bird with 10 heads in heaven was depreciated into human's world. Not repenting though, it made destruction anywhere and brought misery to humans. So the king of Zhou ordered his courtier, Jiang Ziya, the most talented person at that time to handle this. Jiang ziya figured out that this bird was mostly afraid of windmill and he made such a thing to repel evil. The bird with 10 heads disappeared then. The citizens learned to do windmill from Jiang Ziya and it became a popular thing In Beijing
you can see the pic here www.foreignercn.com/index.ph...2751.html