You can get the Windmill Shuriken when you first enter the Pleasure Street area.
Walk forward down the street; you may be attacked by three Black Spider Ninjas. 
Defeat them and continue. You will reach a large clearing. Do not go too far into
it yet. If you do, some motorcycle soldiers will attack and you will not be able 
to get the Shuriken until you defeat them. Instead, turn to Ryu's left. You will 
see some smooth areas on the wall bordered in blue going down an alley. To get 
the Shuriken, wall run and jump to each of them, getting progressively higher 
each time, and land on a raised platform on the last jump. This may require a 
few attempts. Sometimes it will seem as though you will fall off even if it 
appeared like you should have made it. There is also a black object up there that
will fill your health and Ninpo. It can also be used at a later time if needed.