"The Windhover" is about a bird that can—you guessed it—hover on the wind. In fact, windhover is just a common name for a kind of falcon called the kestrel, but it gets called windhover because that crazy ability to ride the wind like a surfer rides the waves is one of its most distinctive characteristics. In fact, the bird's skill as a surfer of the wind is what inspires the poet to write this sonnet in the first place.
If you think about it, the ability to hover on the wind—to stay still in midair—is actually pretty awesome. And maybe it's just this awesomeness that Hopkins is seeking to highlight: the windhover can stay still and strong, even when all the forces of nature—gravity, winds—are working against it.
And then there's the matter of the dedication that commonly appears just below the title and before the start of the poem. It's dedicated "To Christ Our Lord." Hopkins wasn't just a hardcore bird enthusiast, he was also a pretty hardcore Jesuit priest.
Unfortunately, he also had a hard time reconciling his desire to be a poet with his desire to dedicate his life to religion. Eventually, he found a way to make his poetry mesh better with his religion (see "In a Nutshell" for more on that). But because he dedicates this poem to "Christ our Lord," readers are often tempted to look for religious imagery and symbols in the poem, so be sure to check out "Symbols" to learn more.