to be honest you wouldn't catch me going up in one again, it scared the bejesus out of me when I did! but glad I did when I had the chance.
anyhow, to catch the wind you need large flat areas, those cranes are made from round tube so they have very little wind resistance (although they still do sway quite a alarming amount in wind!)
if you look at the back of the boom you can see the counter weights hung out the back to balance the load it's lifting and if you look at the bottom you can see an even larger lump of metal that stops it falling over because it keeps the centre of gravity very low on them and Taller ones tend to be anchored to one of the buildings they are working on