When wind starts to blow, heat is rapidly removed from exposed skin by the constant bombardment of cold air molecules. All else being equal, the faster the wind blows, the faster the heat loss from our bodies, and the colder we feel. This extra cooling effect is called the 'wind chill factor.'
The specific number arrived at gives a sort of equivalent or 'feels like' temperature. For example, if the air temperature is 20 degrees farenheit and the wind is blowing at 20 mph...the wind chill factor is 4. This means that a combination of 20 mph wind and 20F is able to cool exposed skin as quickly as would an air temperature of 4F with little or no wind.
A very common misconception is that wind actually causes the temperature to fall. The temperature on the thermometer is a measure of the kinetic energy of air molecules- and this is not directly affected by wind speed. That is- air temperature is not changed by the speed of the wind. Two thermometers sitting on a back porch will give the same reading, even if one is in a strong wind and the other is not. Likewise, the wind chill factor has no effect on the freezing of water. In other words, if the temperature is above 32F water will not freeze, no matter how low the wind chill factor.