Space is not a perfect vacuum, it is just a system with very low pressure. You will find atoms even between galaxies.

​

The solar wind is particles that is ejected from the sun and move away from it in all direction in space. There is very little interaction between the particle not like on earth where there is quite a lot of interaction. So wind is a bit of a metaphor. The solar wind is more like the sun spraying out particles in all directions.

The solar wind does interact with other stuff in the solar system. It is in large part charged particles and some will be redirected by earth's magnetic field. Northern/Southern light is a result of the interaction with the solar wind and the top of our atmosphere