Confound that wind! (5)
I believe the answer is:
blast
This clue is a double definition.
'confound' is the first definition.
(thesaurus)
'that wind' is the second definition.
(blast is a kind of wind)
(Other definitions for blast that I've seen before include "Report" , "Loud noise from a horn" , "Noise of explosion" , "Blow up with explosives" , "Loud horn sound" .)