"We were wavering around like a ship without a sail."
                                -Judy Holliday

Sails work by creating a high and low air pressure system, and this allows boats to
sail nearly directly into the wind.

Basically, the air moving around the bulging side of the sail is forced, by
the surrounding air, to move faster than air on the inside of the sail.

 This means that the air pressure is low on the bulging side of the sail, and high on
the inside of the sail. Since there is a significant pressure difference between the
two sides of the sail, the sail pulls itself to the lower pressure side of the
sail. Therefore, it is really this pulling force that propels the boat forward when
 sailing somewhat toward the wind.