To properly set up Cloudflare, you'll need to integrate it with two locations: your cPanel and Nameserver. When you begin your service with Cloudflare, they provide you with Nameserver entries to change with your domain registrar. These will need to match for the service to function.
Here is a quick tutorial on how to change your Nameserver for Cloudflare:
Head to your domain registrar and log in
Find the domain you wish to attach Cloudflare too
Look for the Nameserver tab or location in the domain to manage your DNS records
Change the Nameserver entries to match those Cloudflare provided
You can check through https://intodns.com/ to see that your nameservers entries match the ones Cloudflare provided.
To set up Cloudflare with a domain registered at Hostwinds, please check out the article How To Edit Nameservers At Hostwinds.