I use a portable tent/hunting blind. Works great in strong winds and only takes a few minutes to set up.
The one I use is called a penthouse. It's made for bow hunter's so it's tall enough to stand up inside. I bought it to shoot in the snow and rain but also use it when it's windy.
http://www.amazon.com/Ameristep-810-.../dp/B000BSZDTE
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