There was no one particular thing (like one dam or one electric power plant) that is represented by the windmill. Instead, the windmill represents the Soviets' attempts to make their country more modern in terms of its economy.
During Stalin's era, the Soviet Union ran its economy on a series of Five Year Plans. These plans were aimed mainly at making the country industrialized. Russia had been a very agrarian and backwards country and Stalin wanted it to be an industrial power as soon as possible.
So the animals' attempts to build the windmill represent these efforts to modernize. They also represent the ways in which these efforts ended up making the people's lives difficult because resources were being put in to modernizing the economy rather than into giving the people a better standard of living.