Candle in the wind is a song written by Elton John and Bernie Taupin and was originally about Marilyn Monroe. After the death of Princess Diana in 1997 it was rewritten to honor her and became one of the most popular songs of all time. The song talks about the love and adoration that she had from the people of England. It also discusses how she lived a life that was filled with pain because of how her privacy was invaded by the media.
When the wind blows it actually doubles the amount of oxygen that is being supplied to the flame by bringing more air into contact with it. This makes the flame burn much faster and uses up the available fuel (wax) much quicker. This is why a candle will eventually go out when it runs out of fuel and the oxygen supply is no longer sufficient to keep it going.
The reason that you might not notice this effect is that the moving air does not usually move through a candle at the same speed as the flame. Normally the air is heated by the flame and the wax vapor that it produces, this allows it to continue burning as it moves through the candle. However when you blow on a candle it causes the air to move more quickly and this causes the candle to run out of oxygen at a faster rate, thereby causing it to go out.