The phrase here is a personalization of the standard phrase "go where the wind blows" or similar. The idea is that you are passive to the direction you take and the random nature of life (here depicted as wind) will determine your direction.
In this particular context, the speaker is wondering if they are of a fixed nature of character, or if their behaviour with people just changes like the wind and is dependent on who they are talking with. Or, is my behaviour from who I am, or from who I am with. That's how I read it anyways!