There are two ways to approach a windbreak.
One is to attach something to the run fence. If you do this, you'd better be pretty darn sure (and pretty darn *right*!) that your run fence will withstand the resulting wind load, which can be
quite considerable. This is especially a consideration if you have dampish ground. A short fence will stand better than a long straight run of fence (b/c its middle is unsupported by corners); a low windbreak will stand better than a tall one, since it will catch less wind and have less leverage. A somewhat permeable windbreak -- the vinyl woven stuff mentioned in previous posts, or shadecloth, or burlap, or privacy lattice, or that sort of thing -- will also catch less wind (and cause less wind turbulence behind it) than something solid like a tarp.
If you attach something flexible to the fence -- and again, I repeat, if you attach something solid like a tarp, you had better be REAL SURE about your engineering, you might be surprised how much wind force that arrangement can develop and how easily things can snap, keel over, or come apart -- I would suggest crisscrossing tightly pulled ropes, or boards, across it so it does not flap. Permeable fabrics don't flap nearly so bad as tarps, but it is still worth doing this to extend their lifespan.
The other way to construct a windbreak is to have it be a freestanding structure just on the outside of your run fence. That way, unless the windbreak blows over entirely, your run fence is not endangered. Roundbales or big square bales (the 700+ lb ones) of hay or straw -- it can be rained-on unusable hay or straw, which is cheaper -- work very well for this purpose, if you have access to equipment to move them. Regular small square bales can be stacked to make a windbreak, though make sure that it is stable enough not to fall over. Other arrangements can be rigged, e.g. your firewood supply, a 'fence' made of saplings or rotted deck boards attached to well-set posts, a pile of brush, a pile of all the Xmas trees you can scavenge from the neighborhood after the holidays, etc. Some of these things can offer predators shelter as well, so you want to make sure you've thought about the security angle, but as long as your run is good, it's probably worth it to provide the windbreak.
I use 6 mil plastic on the runs on the usually-downwind side of my chicken building; I have a few tarps on the usually-upwind side runs, but cannot put very many on (can't make the end or side of the runs solid) because it changes the airflow pattern so that my roof threatens to blow off
(Will try burlap next, but am unoptimistic). But, I am in a *very* windy location, and other people will be able to get away with a lot more.
Good luck, have fun,
Pat