There are two types of energy: renewable and non-renewable.
Non-renewable energy includes coal, gas and oil. Most cars, trains and planes use non-renewable energy. They all get the energy to move from burning fossil fuels to release the energy they contain. Once fossil fuels are burned they are gone - that's why they are non-renewable.
Renewable energy includes solar, hydro and wind energy. When the wind moves the blades on a wind turbine this movement can be converted into electrical energy that we can use. The wind is not used up - that's why it is renewable.