I was just listening to a string of whing chords last night. A very nice sounding effect it was too...

FBinNY, sailing directly into the wind IS possible with a prop as the power source. Much like the boat with two props mentioned above I've also seen reports of little cars using propellers as windmills to power wheels that can move the car directly against the wind.

The key in both the car's and boat's case is to set the blades to a very high angle. This acts like a reduction gear so the wind energy picked up does not come with the added cost of too much drag. Then the energy picked up is transferred to the water prop or wheels. The reason this "picking yourself up by your own bootstraps" contraption works is because there's little or no slip for the water prop and wheels and the effective "gearing reduction" by using the prop with a high pitch angle. If the prop were to use a very flat low pitch angle or if the driving medium (the water or floor) where more lossy or slippery in the same way that the air is then the story would be very different.