Install a Window in a New Structure
In building a structure, there is a definite sequence of events. Installing windows comes after application of the sheathing, but before the siding and drywall. Once your rough opening has been made, carefully unpack your window, but leave in any bracing that does not interfere with installation.
Wrap the entire opening in strips of moisture seal to help prevent rot and drafts in the future. It should be laid over felt paper and sheathing to the outside with the backside coming flush with the edge of the rough framing. It will be under the siding.
Insert the window into the opening from the OUTSIDE. There will be a lip around the entire window that you can attach to the sheathing and frame with 1 3/4 inch roofing nails. Start by just tacking the window in with 4 or so nails (make sure at least two of them are near the top).
Now go back inside and, using a level, shim the window into place. (Shims are long angled pieces of wood that you can wedge under an object that is to be permanently fixed.) Don't forget to test your window to make sure it opens and closes easily. You may have to adjust your shims and bracing to accomodate this. When you are satisfied that the window is level and appropriately placed, go back outside and finish nailing the window's flange. You may remove any remaining packaging protecting the window.
Later, when you are siding, you may either frame the window or come right up next to the window. Just be sure that something covers the flange and that the seam where the window meets the siding is well caulked.