I've been wondering about this for a while but can't find any reference to it anywhere in the faq's or the forums.
Since the game window doesn't always put you and the flag in a dead straight line, is the arrow showing wind direction relative to your shot or the game window?
If that doesn't make sense, take this example...
In the game window the flag is to the left of my avatar, so I'm aiming my shot at about 11 o'clock. The wind arrow is showing at about 5 o'clock.
So, am I firing straight into the wind, or is it just off the left?