Windmills are usually founded on deep foundations due to the necessity to resist large dynamic moments, including p-delta effects. It is unclear what sort of ground improvement you might be thinking of.
Interesting problem - how much reduction in horizontal capacity might you experience with compression of loess?
My experience with loess is that it is very anisotropic with respect to response to loading. As Jeff pointed out, your laterial resistance and friction resistance against uplift will control your foundation design. How thick is the loess that your going to build on? A pile foundation would have to extend through the loess, and possibly be designed for downdrag from the loess.
Depending on the thickness of loess, and the loads you need to resist, you may want to presoak the foundation area beyond the limits of the foundations lateral influence to collapse it, then construct a mat foundation to support the load.
Try a deep cylindrical ring with a bottom. After completion of the ring/anchor rods, fill the center and backfill the ring with controlled fill (optimum moisture and compaction in thin lifts). The soil mass interior of the ring is added to overturning resisting weights and the horizontal subgrade modulus for lateral movement is improved over native loess values.
Send a couple of geotechnical borings to your friendly neighborhood Ground Improvement Contractor and tell him what you are trying to achieve. He'll tell you if it's possible and at what cost and would probably appreciate the call.
