Lads initially sheltered by troubled Bury set when it's windy (8)
I believe the answer is:
blustery
'it's windy' is the definition.
(I've seen this before)
'lads initially sheltered by troubled bury set' is the wordplay.
'initially' indicates taking the first letters.
'sheltered by' means one lot of letters goes inside another.
'troubled' is an anagram indicator.
The first letter of 'lads' is 'l'.
'bury'+'set'='buryset'
'buryset' is an anagram of 'bustery'.
'l' placed inside 'bustery' is 'BLUSTERY'.
'when' acts as a link.
(Other definitions for blustery that I've seen before include "Somewhat windy" , "Talking loudly and aggressively to little effect" , "(Of wind) fiercely beating" , "Swaggering" , "bullying" .)