When Don Quixote sees thirty or more windmills in the distance, he decides they are giants. He believes God has been good to him, as he will now have the chance to "sweep so evil a breed" off the face of the earth. Sancho Panza, however, informs him they are windmills, even pointing out that what look like arms are sails.
But Quixote has already decided the windmills are giants. He tells his squire that he, Sancho Panza, isn't used to the " business of adventure," then interprets his behavior as stemming from fear. Quixote tells Sancho Panza to pray if he is afraid to fight the "giants" and gallops forth to face the windmills.
Even after he has been knocked out and realizes he was tilting at windmills, Quixote insists that they really were giants, but that his enemy Friston turned them into windmills at the last minute to "rob me of the glory of vanquishing them."
This is a classic example of people believing what they want to believe. Even when confronted with irrefutable evidence that he attacked windmills, Quixote uses confirmation bias to convince himself otherwise. Confirmation bias occurs when we fit new evidence that challenges our existing beliefs to conform to our beliefs rather than changing our beliefs. Rather than accept that he deluded himself, which is the truth, Don Quixote comes up with a fantastic story of an enemy plot to explain the facts.
We can see from this famous episode how relatable Don Quixote's issues are to our own times, when people routinely twist the facts to fit their own version of reality, no matter how wrong their interpretation might be.