I'm not an expert on it really. They rotate the giant cylinder and the wind is blowing by. The rotation forms a low pressure zone one side of the cylinder which acts as a lift force perpendicular both to the rotational axis of the cylinder and the wind.

It's the same effect which "turns" a soccer ball if you kick it with a spin. There is a really nice demonstration of the effect in this video: https://www.youtube.com/watch?v=2OSrvzNW9FE

This wikipedia page has a way better summary than my attempt above: https://en.wikipedia.org/wiki/Rotor_ship