I would like to create a wind rose in excel.
What do you mean by "a wind rose"? The people here may know everything
about Excel, but they don't know everything about everything. It's no
good just naming some concept that may be completely obscure to anyone
outside your field.
If you're just looking for a display of arrows showing the wind
direction, Ed Ferrero has something on his web site
http://www.edferrero.com/charting.aspx
But if you mean a graph of wind direction and speed averaged over a time
period, as used in discussions of wind power, as in
http://www.windpower.org/en/tour/wres/rose.htm
Then I think you need to find an Excel implementation of the "coxcomb
graph", an early relative of the pie graph invented by Florence
Nightingale,
http://www.math.yorku.ca/SCS/Gallery/historical.html
and adapt that somehow.
