A windmill is a tactic where a series of checks is made repeating the position, but unlike a perpetual check (which leads to a draw) with each repetition of the position a material or positional advantage is obtained.
as you can see, white made a series of repeated checks and black couldn't do anything about. The knight went on a merry trip arround the board capturing several peices and winning the game.
This sort of technique can also produce lovely checkmates, such as the one in this postion:
written by Blackadder 11/04/08