The primitive equations for geophysical flows are studied under the influence of {\em stochastic wind driven boundary conditions} modeled by a cylindrical Wiener process. We adapt an approach by Da Prato and Zabczyk for stochastic boundary value problems to define a notion of solutions. Then a rigorous treatment of these stochastic boundary conditions, which combines stochastic and deterministic methods, yields that these equations admit a unique, local pathwise solution within the anisotropic $L^q_t$-$H^{-1,p}_zL^p_{xy}$-setting. This solution is constructed in critical spaces.