The hay bales are OUTSIDE by the farm, and between them is the locked entrance to Mordred's underground lab.
(see related question)
The windmill is at the far right side of the island. There are three areas : the Village, the Castle, and the Mill.
Go inside the mill and pull on the rope that releases the gear lock. Now the arms of the windmill will turn. Go counterclockwise and watch the roof dome.
Go inside and hang from the rope that releases the gear lock. Go outside and climb on the windmill arms, turning them counter-clockwise. This will open the roof dome.
To get to the top of the windmill in Astro Knights Island in Poptropica, you need to reach the area with the moving platforms. Time your jumps carefully to navigate across the platforms and reach the top of the windmill. Keep in mind the patterns of the moving platforms to successfully make your way to the top.
Inside the windmill, climb into the loft and hang on the rope. This will release the gear lock and allow the windmill arms to turn. Jump up on them to turn them counter-clockwise, which will open the roof dome.
Assuming that you have released the gear lock inside, and the windmill arms are turning, the only reason would be if it is turning the wrong way : it has to go counter-clockwise to open the dome.
The attic of the windmill doesn't have a key, only an ingenious secret. (see the releated question)
Once you unlock the gears (inside) and it actually moves, not very long at all. You have to spin it counter-clockwise, though.
Go inside the mill and hang on the short rope to unlock the gears. Go back outside and climb up on the windmill arms. Turning them clounter-clockwise opens the roof dome.
go pass the windmill and on the ladder is the rope.
The rope is on the water wheel on the right side of the windmill.
Go inside and release the gear lock with the rope on the second floor. Jump up on the windmill so that it turns to the left counter clock wise, over and over and it will slowly open the dome.