1.)Everyone says "Warm air rises" and that is an example of natural convection. Convection requires a fluid, heat source and gravity. The heat source causes a temperature gradient in the fluid so that buoyancy of the warmer fluid causes it to rise.
2.)Wind is caused by air flowing from high pressure to low pressure. The Earth’s rotation prevents that flow from being direct, but deflects it side to side(right in the Northern Hemisphere and left in the Southern), so wind flows around the high and low pressure areas.
3. The entropy (order of the matter) increases. Kinetics, the measurement of movement, states that when matter (atoms and molecules) are heated, they move faster and begin to collide with one another or, against the boundaries of the system they are in (flask, earl-meyer glass). Also, at certain temperatures, they will ignite, much like in the movies when a fast moving object enters the Earth's atmosphere from space. The hot-air molecules bang on each other harder.
4.)The energy is added indirectly by the Sun. Uneven heating of the Earth's surface causes winds and pressure systems around the planet. So it is solar Radiation that is the ultimate energy source for most winds.