He is winnowing the grain - with a "fan" [which can be anything that will create a draught] he is blowing the chaff [the outer skin] off the kernel or grain of the wheat/ Once he has cleaned his wheat, he burns the chaff.
The word "fan" is an odd one here - it is also translated as a "winnowing fork" or "winnowing shovel", or not even directly translated. What is essential is that the grain (mankind) is cleaned of its outer husk by allowing a wind to blow it off. This image is a good one of the technique: http://tinyurl.com/2kwdq4
Metaphorically, "he" - ie Christ - will cleanse mankind of sin.