Potential energy is energy stored up ready for action. There is potential energy in a wound-up rubber band, in a squeezed spring and in food, coal, wood, oil and other fuels. There is potential energy too in things far above the ground, because gravity could make them fall. A rolling ball has kinetic energy. So too does a moving car, a wave or a falling stone.
Windmills use the kinetic energy of moving air to turn the millstones and grind corn.
Like all machines, they are inefficient, and turn most of the wind's energy into unwanted heat and sound. If you are exhausted after a long walk, you may say that you've run out of energy. This is the Law of Conservation of Energy. What this means is that the total amount of energy after any change is always exactly the same as the total before. Heat loss Energy is never lost, but it can be burned up.