You need:

A square piece of paper
A pencil
And a couple of pushpins

Ready? OOKKK!

Step 1: Get a square piece of paper of any color, and draw 2 straight lines on it, like this:  
Step 2: Trace 4 diagonal lines from the  corners toward the centers, like this:
Step 3: Cut along each of the diagonal lines. Don’t cut farther than the lines you’ve traced. DO NOT cut the four straight lines.
Step 4: Label each line you just cut A, B, C, and D. Pin edges A, B, C and D to the center of the square. Make sure all four corners are overlapping. Then put the pushpin in he center. Yay! Windmills rule. Your finished windmill should look somethin' like this: