What was a clash between two teams who suffered play-off disappointment last term turned out to be a scrappy affair, which ended with the hosts’ second defeat in two games of the new campaign.
Wednesday were awarded a penalty after 20 minutes when Ethan Robson was judged to have fouled Windass, who picked himself up to send Jamie Cumming the wrong way.
Fisayo Dele-Bashiru then had a big chance to double the Owls’ lead right on half-time after shrugging aside Daniel Oyegoke, but Cumming stood strong to make an important save.
MK Dons created little in the first half, but they forced David Stockdale into two good saves in quick succession from Matt Smith and Dean Lewington.
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Stockdale then produced an even better stop to keep out Dan Kemp’s effort at the halfway point of the second half, as the hosts’ wait for a first goal of the season went on.