The diaphram of the microphone is an extremely sensitive piece of electro-mechanical equipment, which should be protected from any harsh environments. Generally if you are working in an indoor or studio environment a windshield will not be necessary.
If you are working outdoors then it is always advised to have a windshield handy to reduce any chance of wind effecting the capsule, causing unwanted noise on the recording. In extreme cases, it is possible damage to the capsule so in prolonged exposure to wind a Blimp should be considered to help reduce this risk.
RØDE have a large range of windshield and Blimp accessories to cover our entire product range of microphones.