How can I prevent the wind from going through my windows?

It's very windy here in Belgrade, and the wind is so cold. Unfortunately, even though the windows are closed, the wind always seems to be able to go through the small gaps between them. I even put a quilt inbetween the windows - it helps, but not much. I still feel a big temperature drop when I enter my room. Even my blinds are lowered all the way down. Any other suggestions? Thanks.