I found this very easy pinwheel photo-tutorial from Petit Poulou which we pinned to our Windy board on pinterest. To make on, you will need: square paper, hole punch, brass paper fastener, bbq skewer or chopstick and scissors. It took me 5 minutes to make and when I photographed it outside it spun like...a pinwheel ^_^
The only paper fasteners I had were fancy fabric covered ones for some reason, so it looks like I've added a button or something, but it's just a paper fastener. For square paper, I used origami paper — mine is white on one side, so I glue-sticked two pieces together. It looked like they paper was buckling when I did it, but it looked smooth when folded. I used a chopstick instead of a skewer.
This is the pinwheel blowing like mad.
This shows the fastener wrapped around the chopstick at the back.
This is Windy's pinwheel from Sunny.