Windy appears in both the manga and anime.
In the anime, Windy is the very first card that Sakura has. In the first episode, Sakura accidentaly lets all the cards out of the book...all except Windy. Actually, she accidentaly uses Windy and this scatters the cards. She is able to use Windy to capture several of her first cards. In the first episode, Sakura uses Windy to capture Fly.
In the first few pages of the manga, Kero-chan is watching Tomoyo's tape of the fight with the Jump card. It shows Sakura using Windy to catch Jump. Shortly after that is a flashback which shows Sakura and Kero-chan's first meeting, and unlike the anime, all the cards were missing when Sakura first found the book. Also, later in the manga, Sakura tries to use Windy to capture Fly, but since the magic is so similar, Windy isn't able to catch Fly.
Windy is a very powerful, but nice card. It can be used offensively or defensively. For example, in the episode where Meiling goes home, Sakura uses Windy to catch Syaoran and Meiling when they are about to fall. She calls on Windy, and Windy catches them and gently lowers them to the ground.
Go to the Windy Gallery