Let's start, as per the OP's comments, with the convention that when we take two systems A and B, and A is doing work on B, then: from the perspective of A, the work is positive; and from the perspective of B, the work is negative.
Now, from the perspective of the windmill. the work that the wind does is indeed negative: the wind is adding exergy to our windmill system. And most of that work will then transfer into positive work done by the windmill through the rotating shaft.
However, these transfers of exergy don't come for free: some heat is generated in the process, from friction in the system. As to exactly where the heat transfers are, will depend on the initial temperatures of the surroundings and the windmill, and the amount of heat generated by friction. But typically, the friction would raise the windmill's temperature above the temperature of the surroundings, so heat would get transferred from within the windmill system, to outside it.