First and foremost, that isn't 'exactly' a windmill...
It's just a device, with a propeller, which winds a thread as it rotates.
Ok. I'll tell you what you basically need.
1) a strong base for the structure - common sense suggests that if you have to raise a 200g wt, the angular speed of the fan being used must be high. But that shouldn't topple over the structure. What you can do is, from the axle of the propeller, just take out two extensions amd clamp them onto the two benches. That's a strong base.
2) light weight, yet a sturdy material for the propeller - also, if the propellers are decently long, then the overall torque on them will be high, causing a greater rotating tendency.
3) a compact weight - which is evenly distributed over it's volume. And also a strong thread...
Ps - for the propellers, I'd suggest you go into one of these hobby-idea stores and check out some aeromodelling propellers...
That's the basics! The remaining is about creativity... And discussion!