The Thermos of Winds contains the winds of the four cardinal directions: North, South, East, and West. The lid can also be used as a compass, as the part that points to the North will be the coldest and the part that points to the South will be the hottest.
The thermos is part of the lunchbox set from the show Hercules Busts Heads, starring Hercules, and is considered a rare collector's item. The thermos can be used as a compass, as the hotter side points South and the colder side to the North. It depicts Hercules on the container.
When you open the thermos, you will release winds from the four corners of the earth.
Hermes appears on the beach of Camp Half-Blood and gives the thermos and other supplies to Percy Jackson for the Quest for the Golden Fleece. It is given along with the multivitamins, and proves to be a great help to Percy, Annabeth, and Tyson.
Percy uses the thermos to escape from the Princess Andromeda in a life boat, using it for propulsion. While he only twists the lid slightly, it is enough to outrun the cruise ship and gain the attention of the coast guard. Percy eventually reseals the lid and hides in the James River Safehouse with Tyson and Annabeth.
During the fight with Scylla, the thermos is opened too much (it is unknown who did it) and all the winds escape, forming a mad storm. Annabeth Chase later retrieves it, but it is completely empty and not mentioned again.