How do I power my screw pump on Dwarf Fortress?

A windmill produces 0, 20, or 40 power depending on the embark location. Each gear assembly consumes 5 power, and each tile of axle consumes 1, so your power transmission already consumes 12 power. A pump needs another 10, which brings you to 22 requirement. So if your windmill produces 20 power, that's enough for the whole power line, but just a tad too little for the pump.

According to the DF wiki page on pumps, pumps can be powered from below, but only on the output tile, and that tile must have its floor removed before construction of the pump.

You need to channel a hole, in the tile under the center of the windmill, before building it - otherwise the floor prevents the power from transferring through.