I use an open windscreen with my MSR Micro-Rocket that's just a piece of heavy duty aluminum foil. If I need to, I fold the edges around a few borrowed tent stakes. I've used it down to zero F.( with the addition of a small pan of water to keep the canister above freezing) and with some pretty gusty ridgetop and coastal winds with very little drop in performance from perfect conditions. Folds small and adds very little weight. Just remember to point the fuel adjustment valve towards the opening and always make sure you have your set up on a level spot.
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Charlie