A windmill? Just to be clear are you talking about a wind turbine, or an actual windmill? My guess would be the former since the latter isn't exactly in the domain of electronics.
The basic principle of creating a wind turbine is to use the force of air flow (i.e. wind) to turn the turbine... a turbine uses permanent magnets and movement to induce a current in a coil. I am personally planning to try to use a 24V DC Motor as a wind turbine by attaching some suitable blades; a motor with permanent magnets can usually act as a turbine.
Mechanically, you'll need need lightweight blades with a high surface area to catch the wind and drive the turbine. You'll need them to be large enough that the force of the wind can overcome the torque of the turbine, otherwise you'll need suitable gears to step-down the rotation, translating rapidly-turning blades with little torque, into a slowly rotating turbine with sufficient torque to actually turn the turbine. If it helps, when I get around to making myself a wind turbine I will probably use thin but relatively rigid plastic with a wide surface facing outwards, which the wind will catch.
Electronically, you could use a bridge rectifier to produce DC regardless of wind direction. If this is going to be a large turbine, I believe you'll need some way of dumping excess power when the circuit is open or not fully loaded, to prevent overheating and other problems. I believe other similar threads have mentioned using a lightbulb to safely dissipate the excess power, I'm sure another member can advise you on this.