The research has been done on this exact topic. And it finds that wind turbines not only have a high Energy Return on Investment - they also out preform fossil fuels and nuclear power. So the argument that a windmill could never generate as much energy as was invested in building it is completely and utterly false:
"The EROI entails the comparison of the electricity generated to the amount of primary energy used in the manufacture, transport, construction, operation, decommissioning, and other stages of facility’s life cycle (Fig. 2) Comparing cumulative energy requirements with the amount of electricity the technology produces over its lifetime yields a simple ratio for energy return on investment (EROI) . . . The average EROI for just the operational studies is 19.8 (n¼60; std. dev ¼13.7). This places wind in a favorable position relative to fossil fuels, nuclear, and solar power generation technologies in terms of EROI."
Note, this is just the "operational studies." It doesn't include the fact that windmills are becoming more efficient over time and are able to produce greater amounts of energy. So we can expect its EROI to go up even more.