Rough frame a window with a header and a sill between two wall studs. Build a header of 2-by-6-inch lumber sandwiched around a 1/2-inch plywood spacer strip that makes the header the same width as a stud. Set the sill plate horizontally at the bottom of the specified window opening. Fasten both header and sill plate between studs on either ends with 16d framing nails and a hammer. Use a level to set them level.
Support the rough sill with "trimmer" studs cut with a circular saw to fit between the bottom of the sill and the top of the bottom wall plate and to the length of the window from the top of the rough sill to the bottom of the header. Nail those trimmers to the studs on either side of the opening and nail the sill to the trimmer stud ends.
Set the window in place in the rough opening, level and plumb it, adjusting the sides of the frame with tapered wooden shims until it is set properly. Fasten the finish frame surrounding the panes to the rough frame with galvanized screws driven into the studs with a screw gun.
Trim the window and make a finish sill after drywall has been installed around the window. Install the finish sill first. Measure the inside of the finish frame and add the width of the window trim; a finish sill needs to extend across the bottom of the window, under the vertical side trim and about 1 inch past that. Make a sill of 1-by-6-inch board in most cases; thicker walls will require wider sills.
Notch the sill board on either end so it will fit into the window frame exactly, with wings about 6 inches long on either end to go under the vertical trim. Make a cardboard template if you are not an experienced trim carpenter. Cut the cardboard until it fits perfectly into the opening and under the outer trim, then use that to mark and cut the sill board with a jigsaw.
Nail the finish trim to the rough frame with finishing nails once it is set in place and leveled. Sink the nail heads with a nail set and fill the holes with wood putty. Install the vertical trim boards on either side and put a 1-by-4-inch trim board along the bottom of the finish sill to the width of the outside edge of the vertical trim.