The best way to entertain on a windy day is to embrace the conditions
How you entertain on a windy day depends on your attitude to wind. If you don't enjoy it, you'll want to stay indoors.
But let's assume you embrace it. Lunch in a pub or restaurant overlooking a rough sea can be memorable, and could be followed by a blustery walk on the cliffs or the seashore. Ask everyone to bring a kite if you know it'll be windy and you've invited outdoor types.
A day spent on a sailing boat in blustery conditions can be a great experience. If you can cook onboard, that's even better. There are many possible scenarios, but consider this one: you arrive at the marina at 9am with your guests, having brought bread, salad ingredients, wine, water, biscuits and coffee.
You sail through the morning, heading out to sea and dragging mackerel lines behind the boat. You turn back for some coastal shelter in time for lunch. Grill the fish you've caught while dropping anchor and reefing the sails, then eat your feast on your knees while the boat bobs about. When you've finished, toast each other generously, weigh anchor and sail back to the marina. Perfect.