Follow the walkway around to the light side of the windmill, at which point you will be given a view looking along the walkway at the blades of the windmill. As you may have guessed, what you have to do now is ride one of the blades to the top. When the main beam of one of the blades is more or less horizontal, make a running jump out to it, and Ico should be able to grab on. If he does, start shimmying right, aiming to move onto the side of the blade when the whole thing goes vertical. When the blade goes vertical, jump off onto the walkway behind you. If you miss the blade, the water below will protect you from injury.
When you make it onto the walkway, start following it down toward the retracted bridge. You will pass a gap in the walkway near the windmill, a Stone Seat, and the Idol Doors you're trying to get to. Past the Idol Doors drop down two of the large drops, then look for the lever near the edge. Pull the lever to extend the bridge. The bridge doesn't quite work right, and it breaks down short of the far side. Drop down to the partially-extended bridge and extend a hand to Yorda, who'll have to jump the gap. When she gets across help her up those large steps to the Idol Doors. Save first if you wish, then head through the doorway.
Written by Crumplecorn