When you import a shapefile (or zipped shapefile) into QGis is just displays the data using a random color. So you need to style it and select a attribute to colour it in by and how you'd like the values mapped to colours.
The trick with the wind speed data is to read the documentation (boring though that is) - so looking in the included "Wind_attributes.txt" file gives us:
An = Annual SP = Spring SU = Summer AU = Autumn WI = Winter
JA = January FB = February MR = March AP = April MY = May JN = June JL
= July AG = August SE = September OC = October NV = November DC = December
80 = 80 metres above sea surface 100 = 100 metres above sea surface
WS = Mean Wind Speed recorded in metres per second (m/s)
PD = Mean Wind Power Density calculated per square metre of rotor
If I choose to use a Graduated style I will get a choice of columns to map. Based on the above list it looks like if I pick
an_ws_80m I will be mapping Annual Wind Speed at 80m above sea level.
Pressing the classify button will apply the settings to the map. I find that the map looks better with Jenks Natural Breaks rather than Equal Intervals but your mileage may vary. I have also increased the number of classes.
Finally to make it look a little nicer I removed the black lines by setting the Stroke style to No Pen.