In . . . . . . . . afternoon . . . . . . . . wind increased and they soon found themselves in . . . . . . . . difficulties.

In the first blank, article "the" will be used because article "the" is used to refer to a definite time (afternoon).
In the second blank, article "the" will be used because the speaker is specifically mentioning the 'afternoon wind'.
In the third blank, "the" will not be used because the word "difficulties" has been used generally and not specifically, describing the type of it. The articles A and An can't be used because 'difficulties' is plural. So, 'no article'.