Valley fold the square below (in the center of the model) it in half diagonally, so that the square covers the first triangle you made.
 

 

 Complete the third edge now, forming the triangle like before, and a backwards triangle over the first triangle you made.
 

 
 
 After creasing the valley fold, valley fold the right third over it. This will create a triangle on the top, which is your mountain fold. Crease well, rotate the paper 90 degrees, and do it again to the second side, creating a triangle above it.
 

 

 

 Valley fold the top third down, so that you have a rectangle made of 6 squares.

 
 
 Look closely at this picture. You will fold a valley fold through the center square, and a mountain fold through the right square. The are diagonal folds, going in opposite directions. Completing these folds will require valley folding the right third of the paper.

The first known paper pinwheel originate in Europe where baptism certificates were folded into this unique shape during the 1800's. I must assume that either the fold is older than that, or the name was applied later, since the obvious use for a pinwheel involves pinning it to something, and letting the wind spin it. I can't imagine that Europians did this with baptism certificates. Here are the directions, so that you too can make your own paper pinwheel.