Screwpumps consist of 4 tiles:
1) The input tile where water or magma is pulled from the Z level
below. 1/7 fluid depth will not be pumped.
2) The passible tile where a dwarf stands to power the pump.
3) The impassible tile which nether dwarves or fluid can pass through.
4) The output tile where the fluid is pumped to.
The pump is powered by a powered tile above, below, or on either side of the pump's "impassible tile". If the touching powered tile/mechanism is on a different Z level (above or below) the pump, the floor between the Z levels must be removed (channeled) to allow power to connect.
The adjacent powered tile can be a powered axle, gear assembly, windmill, waterwheel, or another screwpump. A screwpump consumes 10 power from the connecting power train or requires a dwarf to manually pump it to work.
I suspect that in your fortress you connected your windmill to the passible tile that the dwarf pumps at and not the impassible tile. If this is accurate, adding a gear assembly or axle next to the impassible tile that also touches your windmill would power your pump.