Simply drive three stakes in the ground to form a “triangle” pointing in the direction the winter winds usually come from. Wooden tomato stakes serve this purpose well. Then staple some burlap securely to the stakes to break the force of the wind.
Make sure the burlap is attached securely or the wind will win the battle. Also make sure that the burlap material is not touching the plant when the wind is blowing. If it touches it will “wick” moisture out of the leaves. See the diagrams for a better understanding.