Solitude Windmill is located in the city of Solitude and is a mill connected to the wall. The Dragonborn needs to access it during "To Kill an Empire." It is connected to the Emperor's Tower in Castle Dour.
It is accessed either by the Emperor's Tower or through a small gate under the arch, which requires a key during "Battle for Solitude." If the Dragonborn continues going down the flight of stairs inside the windmill, they will end up outside of Solitude on a pathway just under the large rock arch of the city (labelled "Skyrim" on the map).
If being accessed during the quest "To Kill an Empire", the bridge connecting to the top part of the mill has collision walls all along the side, making jumping over impossible and forcing the Dragonborn to have to go through the windmill.