So there are four main (or cardinal) directions, North, East, South, and West. There are also four ordinal directions, spaced evenly between the cardinal directions, Northeast, Southeast, Southwest, and Northwest. I think most people are pretty solid on this.
A diagram noting these directions is called a compass rose. Usually for gaming you only ever see four or eight point compass roses, or sometimes a single arrow pointing out North. And for many games, that's all you'll ever need, but for a heavily nautical game, one that captures the detail and tactics of high seas literature, or even better nautical video games, like Sid Meier's Pirates, it's not nearly enough.
At this point I think it's worth pointing out that winds come FROM the direction they're named after. A North wind comes from the North and blows to the South. Again, something pretty obvious once you know it, but not something everyone actually does know.
Expanding on the eight point compass rose, we have eight more intermediate directions
directions. Sailors in the olden days called these the "half-winds". They are North-Northeast, East-Northeast, East-Southeast, South-Southeast, South-Southwest, West-Southwest, West-Northwest, and North-Northwest.
One last expansion gives us the 16 "quarter-winds": North by East, Northeast by North, Northeast by East, East by North, East by South, Southeast by East, Southeast by South, South by East, South by West, Southwest by South, Southwest by West, West by South, West by North, Northwest by West, Northwest by North, and North by West.
And so, if the wind is blowing from the WNW, but then shifts four points south, it will then be coming from the WSW. Or maybe you're sailing SEbE and need to go SE instead, you can alter course one point to starboard. A combination of these two concepts (wind direction and heading) brings up the next major topic: points of sail.
If the wind is coming from the North, and you are sailing East, you can be said to be sailing eight points off the wind. If you turn to the Northeast, you are then sailing four points off the wind (this is as close to the wind as you can get without using magic, and you need a good ship and a good helmsman to do it).
Different points of sail have different characteristics and are called by different names. A ship sailing between four and seven points off the wind is said to be "close-hauled". Sailing eight points off the wind is a "beam reach". Between nine and fifteen points off the wind is a "broad reach". A ship sailing directly downwind, sixteen points off the wind, is "running". All this will end up factoring in to the final speed of the ship, once I get all the details figured out.
As an interesting bonus, I've learned that back in the Medieval period, Italian sailors (and presumably many others in the Mediterranean) used a naming system for winds. Many of these names were location based, with Italy as the main reference point. The winds names are Tramontane (North), Greco (Northeast), Levante (East), Sirocco (Southeast), Ostro (South), Libeccio (Southwest), Ponente (West), and Mistral (Northwest). A similar naming system could be used by sailors in a fantasy world, substituting more appropriate place names for that world, especially if one country is the predominant maritime power.