'Wind down', in this context, means that you should relax (mentally and physically) for a period of time before you retire to bed. The purpose of this is to help you fall asleep within a few minutes of going to bed, rather than going to bed while you are still mentally or physically alert, leading to difficulty in sleeping. Repeatedly doing this can lead to bad sleeping habits and insomnia.
You can also wind down after physical exercise, but that is different, and involves doing light exercise (e.g. stretches) to allow your heart rate and body temperature to return to normal levels over a period of a few minutes. Done properly, this can reduce muscle pain by stretching and relaxing the muscles and allowing them to start repairing themselves.