Upwind Schemes meaning What is an upwind scheme?(Why the name "upwind")
Why Gudunov scheme for conservation laws is an upwind sceme?

I'll try to explain with a simple example. The name almost speaks for itself when you think about the diffusion and convection of heat inside a metal rod. Let's suppose the heat is convected from left to right. 
The equation that models this problem is this:
\begin{equation}
-\epsilon u''+p u' = 0,
\end{equation}
with some sort of boundary condition (take $u(0) = 0$, $u(1)=1$ as an example). Note that $p>0$.
It's a fairly easy equation, but it serves our purpose.
If we discretize the problem using centered finite differences (just as an example), we have that given a certain point $x_i$ of the grid, the solution $u(x_i)$ is calculated using "in equal amount" the solution in $u(x_{i-1})$ and in $u(x_{i+1})$. But, if we have $\epsilon << p$, then the diffusion contribute is almost negligible. If you keep using this method you will encounter numerical instability, unless you use a ludicrously fine grid. If you use instead a skewed stencil, instead of a symmetric one, you can give more importance to the operator in the equation that is actually more important (i.e. $pu'$) - because $p$ is larger than $\epsilon$.
TL;DR:
From a physicist point of view, this means that in every point of the grid, when you are calculating the solution in that point, you are "putting yourself upwind": you are facing the direction of the wind, or, in our case, the direction of the heat through the metal rod. In other terms: if the heat is moving from L to R, and you are at the point $x_i$, there's no need to look at the diffusion nor the convection of heat that come from the point $x_{i+1}$, because the heat is coming from the point $x_{i-1}$. 
About Godunov's scheme, if you consider what I just said about using skewed stencils it is immediate why it's an upwind scheme ;)
I hope this clarifies.
