Ducksterman:

Advice to remember: Always try to make your cast stroke downwind of your body. Otherwise you're going to get hit by your own fly. Example: I'm right handed and the wind is coming from my right to my left. I put my back to the wind and wave the rod across my body. This way the wind will always hold the line (and the fly) out of my way.
Also, sometimes you can still cast during wind if you use a smaller fly. (It offers less resistance to the wind)
If you can get Joan Wulff's Casting DVD, she teaches how to cast when the wind comes from every direction.

Comments from the more experienced?

Migs