Controlling relays is absolutely possible, and not very complicated. But you can not hook a relay directly up to an Arduino pin, because the relay coil will most likely draw more current than an Arduino pin can source (max 40 mA). The solution is to let Arduino drive a transistor and then let the transistor drive the relay. Jost Google Arduino + relay, you will find lots of examples.
The temperature sensor should be simple as you have already discovered.
If the windmeter puts out a DC voltage less than 5V then you can use the built in ADC (Analog to Digital Conversion) on one of Arduinos analog in pins to read the voltage. If the voltage is AC or exceeds 5V then you need to do "something" to it first. The ADC is easy to use, basically i converts a voltage in the 0 - 5V range to a number in the 0 - 1023 range.
The LCD and keypad should also be fairly easy to hook up, especially if you have the datasheet. There is a library for hooking up LCD displays, you can find it on the Arduino site. There is also examples for hooking up a keypad.
The program is going to be a bit complex, and i recomend that you try to make it in little modules that you can program and test one at a time.
read the Arduino programming reference and check out how you can split your program up in different functions you can call. This makes it a lot easier to develop and trobleshoot the program.