The Windmill World is an area that can only be accessed by getting eaten by Big Red in the Sewers.
The Windmill World is quite small. There are two NPCs found in it, the Cube Guru and the Fisherman. Interacting with the Cube Guru will make its head spin around while interacting with the Fisherman will send you to The Docks B. There is a building complex within the map of the Windmill World. The door in one of the buildings will lead to the Block World.