The winding number is not only defined in situation where you have such a thing as a "compactified dimension". This is a very specific term that people use in string theory, and using it here is confusing, especially if you refer to a circle, which is not what people use in string theory.
Winding numbers appear for instance in QCD (or any Yang-Mills in general). Instantons for instance have a non vanishing Pontryagin index, and are essential in many models of the vacuum and/or bound states. It is a topological number indexing equivalent vacua.
Winding numbers appear in situation as simple as a closed loop in a plane. Suppose such a loop encloses the origin. How do you know ? Draw a line from the origin all the way outside the loop. Choose an orientation of the loop. Count positive every time the crossing is (say) right, negative otherwise. If you get a non-zero number, the origin is on the other side of the outside, that is what you define as inside. If the loop winds 3 times, you'll get 3 (or -3). This is also called the Brouwer degree in that case. No matter how complicated you deform the curve as long as you don't cut it : topological property are (what is) stable against continuous deformation.