Measuring Wind Speed and Direction
Lots of things show wind direction. Smoke, trees, flags or weather vanes. Observing how these move can also tell you wind speed by comparing with the Beaufort Scale.

A wind sock or anemometer will tell you direction and wind speed.

Instruments are easy to make or buy
You can quite easily make a wind sock and this can give an indication of wind speed by how straight or how droopy the sock is, as well as wind direction. If you buy or make a weather vane, it helps to mark North using a compass.

Ideally the best way to measure wind is to use an anemometer or a ventimeter, of which there are a number of different types.