My initial response is 'don't'. Search the forum as there have been some threads on this such as : http://www.renovateforum.com/showthr...=wooden+window and from our sister forum : http://www.woodworkforums.ubeaut.com...ad.php?t=49569
If you are very well set up with a good workshop and tools and the knowledge required to build a window (but depends what you mean by a window . . . .) you probably wouldn't ask the question. I am not trying to be negative, but a timber window - one that has at least one opening section and is within a timber frame - is a fiddly and complex series of shapes and joints that requires specialist knowledge and hand or power tools to implement it.
But there are joinery sites that will show you how if you are really keen. A better approach might be to tell you why you want to do so and what sort of window you are thinking of and members will give some advice (including go and buy one).This document gives a good overview of Windows (and stairs) - http://www.timberbuilding.arch.utas....d%20Stairs.pdf
There are also DIY window kits - such as WR cedar ones from here: http://www.hardwarestore.net.au/DIY_...nents_kit.html but check to be sure that it really is cheaper.