Hi Nhu,

I would not use 'venteux' to talk about the weather.

You can say, 'Il vente' ( like:  il pleut or il neige ) but it is very formal.

Il fait du vent 

or even,

il y a du vent aujourd'hui

is also possible ...

'Venteux' is used as an adjective to talk about something which is 'subject to wind'.

e.g.

Cette plage /cette saison est très venteuse = This beach/this season  is very windy

Les haricots sont venteux = Beans give you wind ( flatulence) 

Hope this helps!