Lay the new octagon window face down on a flat surface. Insert a tube of silicone caulk into a caulk gun and cut off the tip with a utility knife. Squeeze the trigger to apply a bead of caulk around the window's nailing fin, which is the metal lip running around the window's perimeter.
Measure the rough opening's height and divide it in half. Set a 4-foot level perpendicular to the window's height at the center point. Draw a straight line along the level onto the wall on either side of the rough opening.
Insert the octagon window into the rough opening from the exterior side. Locate the two nubs on the nailing fin. The nubs will be located across from each other and indicate the octagon window's center line. Line up the nubs with the lines you drew in Step 2.
Hold a level against the octagon window's side and top to ensure the window is plumb in the opening. Hammer roofing nails through each of the nailing fin's holes to hold the window in place.
Return to the window's interior side. Pack loose fiberglass insulation into any gaps between the rough opening and the octagon window's frame. Wear gloves, face mask and eye protection when you work with the insulation.
Lay the octagon window's interior finishing kit face down on a flat surface. Put a tube of construction adhesive into a caulk gun. Apply a bead of adhesive around the kit's back edge. Press the kit into place over the octagon window. Hammer finishing nails through the kit's surface and into the wall with a pneumatic nail gun to help hold it in place.