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Ah, headwinds are something to be embraced and cherished. They're the Fenland equivalent of climbs in weird places with bumpy ground. On days when there's a good stiff SW wind, I like to go up to Three Holes (yep, it's a place) and ride along Sixteen Foot Bank to Chatteris. 14.2km, dead straight, no shelter, straight into the wind. What doesn't kill you makes you stronger, as @Cycliste and Nietzsche would claim.
Such a nice city. Shame I was too young to appreciate the history then.
Great roads for training too. If the wind doesn't send you mentally insane!