Pour some hand sanitizer on your hands and rub your hands together, as if you were washing your hands.
Your hands are now wet, so do your hands feel cooler? Answer: Yes!
After waiting a few seconds, are your hands now dry? Answer: Yes!
The hand sanitizer evaporated off your hands and your hands felt cool, therefore evaporation is a cooling process!
Repeat the steps above, but this time move your hands through the air. This simulates the wind. Do your hands feel even colder now? Answer: Yes!
What happens? Again, evaporation is a cooling process and adding wind to the picture makes evaporation happen faster. This makes your hands feel even colder. This is why we have a "Wind Chill" factor. The wind causes moisture on your skin to evaporate at a faster rate, therefore making you feel colder.