Every set of Lego instructions I had as a kid included a windmill, though these were universally primitive - consisting of
a rectangular building with a car wheel protruding, onto which were stuck 4 flat plates for sails.
Lego has moved on a lot since then, though it still takes a skilled and creative user to produce technically accurate models.
There is one such model on show via this
Flickr photo set. The sails are still rather
inaccurate for an English windmill - but look to be a specialist part so I guess that this is the Lego manufacturer's idea of
what sails should look like (and in fact they could well be based on Scandanavian windmill examples).