There is a concept related to Chanukah where we say הדלקה עושה מצווה, that the lighting of the candles is what makes the Mitzva. This means that we have completed the obligation to light Chanukah candles as long as they had adequate oil or wax to last for thirty minutes after צאת הכוכבים under normal conditions.
If there is every expectation that the candles should burn their appropriate time and they are accidentally extinguished, one does not need to re-light the candles, as the Mitzva is considered complete.
If, on the other hand, there wasn't enough oil or the candles were placed in the path of a רוח שאינה מצויה, an unusually strong wind, that will almost certainly blow out the candles, he has not fulfilled the Mitzva, and must re-light the candles so that they burn the required thirty minutes. This is what is meant by הדלקה עושה מצוה.