To answer this question you need to know that light and sound are both waves but they are fundamentally different waves. Sound waves are whats called longitudinal waves and they work by vibrating the molecules in whatever medium they are travelling through. So in this example the air, when you speak the air molecules vibrate which, like a row of dominos, causes the next to vibrate and pass on the sound. This means that if it is windy they air molecules are being blown in one direction so the sound will travel in the direction of the wind.

Light however is a different story. Light waves are transverse waves and do not need a medium to travel. This is why light can travel through the vacuum of space but sound can not. Due to this, light is not affected by the wind and the movement of molecules has a minimal effect on the light wave itself