I just installed a direct vent wall mount furnace. When ever the wind blows the pilot light goes out. Is there anyway to correct this matter? There was nothing in the installation guide nor information from the company that I purchased this from that informed me that this could be a problem. It's very frustrating as this pretty much makes this furnace worthless.

Pilot light? How 20'th century. You could check on retrofitting an ignition system.

Does the vent go up past the roof? If not, you could have a down draft when the wind blows across the roof towards the side where the vent is. You could fix that by extending the vent to a few feet above the roof. I think code calls for type B double wall.

I fought the down draft and the pilot light many years ago when I was managing a small factory.