This is as far as I could find, nothing on the unit as such.

In the OR at Serial 003, pg.011, General Price in his report of the Wilson Creek affair, remarks:

“General Clark's cavalry, together with the Windsor Guards, were under the command of Lieutenant-Colonel Major, who did good service. They lost 6 killed and 5 wounded.”

…………….

James Patrick Major

At the battle of Wilson's Creek Colonel Brown and Lieutenant-Colonel Major led a body of 679 Missourians, and were complimented for their good service.

Source: Confederate Military History, vol. XV, p. 245
http://www.civilwardata.com/active/hdsquery.dll?SoldierHistory?C&188211
………………

?he Wilson Creek Order of Battle for Price’s Missouri State Guard notes:

Third Division BG John Bullock Clark Jr.
Burbridge’s Infantry: Col John Q. Burbridge
Major’s Cavalry: Ltc James P. Major

……..,,,,,,,,

Major resigned from the U. S. Army on March 21, 1861, and joined the Missouri State Guard as a lieutenant colonel. He fought in the Battle of Wilson's Creek on August 10, 1861.

https://en.wikipedia.org/wiki/James_Patrick_Major

…………….

Windsor Guards, Cavalry. See Missouri Troops, Confederate, 1st Battalion, State Guard (3rd Division).

OR Ser. 119 Introduktion.

………….

James P. Major, Lt. Col. 1st Battalion Cavalry, Missouri State Guard

Only one card is found at this site, and it is a reference to Gen. Price's Wilson Creeks report

Compiled Service Records of Confederate Soldiers Who Served in Organizations from the State of Missouri