The size would depend on what exactly you are trying to protect, but windbreaks like large conifers, mixed shrub borders, or privacy fencing work well for this.
Place them to deflect the prevailing winds.
Even something as simple as one section of privacy fencing with a grouping of plants at either end can make a wonderful combination windbreak / focal point.

You can find out which direction your prevailing winds come from by googling "prevailing wind map".

Here's a good article about garden micro-climates (which I just posted on another thread):
http://www.gardenguides.com/582-combat-zone-envy-make-microclimates.html