There are two key points in the play when the wind comes up in the dialogue, but if you check out the film you'll notice that the wind is constantly blowing. It blows especially hard when scenes are changing and it seems as if things are getting out of control. In the film, the wind is often used to signal a change in events, and when things get chaotic, it's like there's a little hurricane going.
The first major point the wind comes up in the play is when Ros and Guil are trying to determine which way they came to the court at Denmark. Guil gets into an absurdly elaborate scheme where he tries to use the position of the sun to figure out the direction of the wind. For a moment, he completely forgets about the wind, and he is just trying to figure out what time of day it is based on the position of the sun. Ros suggests that he just go and look, and he gets angry. He says, "Pragmatism?! – is that all you have to offer? You seem to have no conception of where we stand!" (2.51). The dialogue continues:
ROS: I merely suggest that the position of the sun, if it is out, would give you a rough idea of the time; alternatively, the clock, if it is going, would give you a rough idea of the position of the sun. I forget which you're trying to establish.
GUIL: I'm trying to establish the direction of the wind.
ROS: There isn't any wind. Draught, yes.
GUIL: In that case, the origin. Trace it to its source and it might give us a rough idea of the way we came in – which might give us a rough idea of south, for further reference. (2.52-55)
A few minutes later, the Player enters and says, "I know which way the wind is blowing" (2.146). In some sense, the joke is very simple. Knowing which way the wind is blowing is having some sense of what's going on, of being able to figure out which way events are headed: it's knowing what's what. The Player uses the metaphor to imply that he knows how events are going to turn out, while just a few minutes ago we watched Guil's ridiculous attempt to find out which way the wind was blowing only to decide that there was no wind. In short, Ros and Guil don't know what's going on.
Yet the wind gets at a major theme of the play: the tension between "pragmatism" and "pure reason." This is actually a big debate in philosophy. It's the difference between something called a priori and a posteriori. A priori means that we can establish something just by thinking about it, just by using our reason. For example, the philosopher Descartes' thought that he could establish his existence just by thinking about it. His famous proof: "I think, therefore I am." A posteriori, by contrast, means that we have to observe empirical data before we come to conclusions; we have to look at the world and see how it works. In the scene with the wind, Guil shows how inept he is at establishing things a posteriori. He's pretty good at speculating about things without any evidence, but he stinks at observing the world around him. Forget all the philosophical talk for a second. The point is: Guil has no common sense.
This gets back to Guil's attempts to determine whether or not things are controlled by fate or by chance. In the opening scene with the coins, he spends a long time considering various possibilities and trying to decide what is going on just by thinking about it. Yet the fact that the wind becomes a symbol of the course of events suggests that maybe the best way to figure out what is going on is just to be very attentive to the world around you. Who needs abstract reasoning when the answer is right under your nose (or at the tip of your licked finger, if we're talking about wind)?
The other place that the wind comes up is in the final act. The wind is filling the sails of the boat that will take Guil and Ros to England. It is at this point in the play that events are set and determined; the wind is directing Guil and Ros to their fates. What before was "just" a metaphor suddenly takes on literal power: it really is taking the two of them to their deaths. But anyway, we'll talk more about that final act in our next section, "The Boat."