If the fronds are grayish brown cut them off since they arent of use any more, but otherwise leave them one since it will help a little at least! Definitely pot it up, hopefully it will be ready to go in the ground next spring!
Good luck with it! And is your spanish bayonet yucca a yucca aliofolia? Those are beautiful!
-Alex

I didn't know a Windmill could get sunburnt. Are you sure it isn't something else, like a bug, or something in the soil (like voles or too acidic), or damage from last winter? Is it too late to return it to the store? Depending on how long it's been in the ground, you will have a VERY difficult time having a Windmill Palm survive a transplant.

Here is a link that might be useful: Virginia Beach Weather

Alex- yes it is a yucca aliofolia! Can't wait! My windmill is gonna be potted till AT LEAST spring haha Thank You for your GREAT advice!

LagoMar- almost positive its sunburn, it hasnt been established yet, because its i planted it less than a month ago :) its probably not the soil, i have clay/sandy mix, and i have other palms doing great! THANKS! So how are your palms in VA Beach?!

Looking forward to seeing how your aliofolia does. They arent too common here, but I have heard of them surviving down to 0F without problems or protection so they should do well by you and should be grown a lot more in the area!
-Alex

Alex- i wish they were more common here! I've been looking for a trunking yucca, and i thought this would be the best choice, because it trunks alot fast, and looks alot better than most!

Bayonet will definitely trunk. I had one at my old house and I did not allow pups to grow around it. It got so tall that it started to sag toward the ground so I had to give it support.

Re: your Windmill, I'd try to exchange it if it were me. It should last more than a month. I have heard that palms need more shade in the first few months after transplant.

And as for the palms in Va Bch, they're having a very happy summer! Lots of heat, humidity, and here in July, lots of rain.

Here is a link that might be useful: Virginia Beach Weather

LagoMar- I'm sad to admit that i fell for TyTy's tempting pictures :( i dont think i'll be getting a new one :( but it's good news to here that VA Beach is doing well! I just took a vacation to Ocean City,MD, and they replant their palms every year i think, and they look AWAFUL!!! they need to plant hardier ones! and stop spending all that money!

Question: do use use the ever-famous VA Beach "shrink wrap" method?! if so, how do i do it?! Thanks!

Did you get the trachy from Ty Ty?
-Alex

Alex- Yes :-(

I think your plant died due to transplant shock, not sun exposure. Last year, I purchased one that was sent balled and burlapped. Nice big palm but leggy growth indicated it was being grown in the shade. No matter how much I watered it, the leaves started folding up almost from the start. I have to say though that this was not typical. Mostly, my palms seem to pull through transplanting just fine--even balled and burlapped. Probably best not to plant or even order in high summer. No telling how long a plant in sitting in some baking temps. As for the Yuccas, I do like them. I grow the tropical Y. elephantipes, Y. recurvifola, Y. rostrada, Y. filimentosa (green and variagata). More would grow here but are just not sold here. Question--
Which yuccas are trunking, zone hardy to 7, moisture tolerant, and not too prickly?

njoasis- Its not nesesarily dead, beacause their is new green growth and 1 green frond.... I attached a link to a forum talking about some hardy yuccas in zone 7 :-)

Here is a link that might be useful: Yuccas!

That might explain the transplant shock then, but at least you got your palm and it will probably live too!
And Nj, I've seen the following yuccas here trunking, I'll list them in order from most common to least...
Yucca recurvifolia
Yucca rostrata
Yucca Faxoniana
Yucca thompsoniana (at small heights)
Yucca aliofolia

I'm sure there are other trunking yuccas that would do well here, but these are the main ones I see here.
-Alex

Regarding your Question: do use use the ever-famous VA Beach "shrink wrap" method?! if so, how do i do it?!

The answer is, NO WAY! As far as I know that is a scam created by some local businesses that sell and "service" palms (for an additional annual fee). The plastic wrap is by no means necessary, and in fact the palms that are not wrapped look better in the spring due to the inevitable burning that happens under the plastic. The plants can't breathe and they get too hot. Even the businesses that provide this "service" do not wrap their own palms (been there in the winter). The only palm that I've ever wrapped is Washingtonia, and I only wrap the heart with burlap (so it can breathe) if it is predicted to get below 25. I will cover Jellys and Sago if snow is a possibility. Sabals, Windmills, Needles, Jellys and Mediterraneans all thrive here with no protection. I'm sure I'm missing some. The vast majority of people who have those trees do not wrap them, and they look wonderful! Washys need help though. Robusta are pretty much perennials in 50% of the years, and are prone to disease. Filifera is much better. I just bought a Filibuster this year and we'll see how that does.

Here is a link that might be useful: Virginia Beach Weather

I agree, the plastic wrap is a great scam, but nothing more than that. Burlap is more effective but even that only helps a little, add some lights and it helps a lot, but then you risk overheating.
-Alex

Thanks guys! i sorta figured that :-)