Why was the windmill built?

The windmill was built to supply the farm with electricity and ease the animals' lives.

After surveying the ground, Snowball declared that this was just the place for a windmill, which could be made to operate a dynamo and supply the farm with electrical power. This would light the stalls and warm them in winter, and would also run a circular saw, a chaff-cutter, a mangel-slicer, and an electric milking machine.