Building In Windows
Putting a window in a new wall is easiest because you have access to "framing in" the opening. Once the wall framing is done, put in a box of trim boards (ie. 1 X 5) into where you will set the window (In its original frame). Install the window; remember to place the "putty side" of the window facing the outside. If the window has been reframed and the putty is gone, then place the window with the "textured" glass surface facing the inside. Seal the edges with caulking and trim in the window with moulding. To protect the outside face of the window (and to control heat loss), install either a storm glass window or a plexiglass pane. Do not attempt to make this cover airtight- allow for some air "drainage" you reduce the chance of frost by drilling small holes in the plexiglass near the bottom corners.
If you are attempting to build a window into an existing opening, you may not find an exact size. You may have to use a slightly smaller window and build the opening a bit smaller by using some trim wood. Sometimes, an arched window can be built into a rectangular frame by simply cutting out the shape of the arch in a sheet of 3/4" plywood and inserting this in the rectangle. The inside portion framing the arch can then be stained, painted or plastered. If you are going to put in several windows, consider using different sizes and designs for a collage effect. You may choose a unifying colour or design pattern to pull together the different windows. Although this suggestion sounds rather bold, the actual result can be very striking.
Some people wish to install a window into an existing door. First of all, check the door to make sure that it is strong enough to have the hole cut. Unless the window comes from an existing door (and therefore has its own reinforcing), you must either add your own steel reinforcing bar or sandwich the window between two sheets of glass or plexiglass. Do not try and use caulking to seal the sandwich. Sealing in this manner can only be done professionally at a glass company that thermopanes windows.