Install or hang a curved shower curtain rod. While these rods don't completely prevent curtains from blowing around, they do put more space between your body and the curtain, keeping the curtain off of you as you shower.
Purchase and hang either a heavy shower curtain or a curtain that comes with an attached liner. Heavy curtains do not blow around as much as lighter ones.
Attach magnets or suction cups to the bottom and sides of the shower curtain, or purchase a heavy shower curtain which comes with magnets or cups. These cups keep the shower curtain attached to the wall and base of the bathtub during your showers, preventing the curtain from blowing around. Remember to attach the magnets or cups to the wall and tub before you begin to shower, as moisture prevents them from remaining on the wall for a long period of time.
Use less water pressure as you shower. This reduces the "shower effect" -- the amount of air rushing to the bottom of the tub -- which in turn prevents the curtain from blowing around.