No preference beyond somewhere deep in the mountains. It may be a tease in mentioning wind as it never gets any, or it could be built in a chasm's cliffs, and there is plenty of howling wind and it is attributed to something called Pike. Have fun with the origins/mythology. After LPS and I decided to snatch a member's name for our purpose, we chose "wind" as tribute to "Morrowind" since we stole Pike's name.
Where would you like Pikewind to be located? =]
BBQ chocobo > BBQ chicken