The import from Excel utility expects wind directions in degrees, it will not accept compass directions such as NE or SSW. If you have wind directions recorded as compass directions, you will need to convert them to degrees. The following conversions can be used:
N = 0
NNE = 22
NE = 45
ENE = 67
The find and replace tool in Excel can be useful in making this conversion, but be sure to use the Match Entire Cell Contents option otherwise NNE would be selected when searching for NE for example.