(This is pretty similar to what MachFive and LED said, but a little more in depth, and using rubber molding (which I find to be easier))
My first attempt at installing a window came out pretty well.
A rotary saw (Dremel being by far the best) is the only tool you will need. That and I guess a flat screwdriver to help you get the window into the molding which holds it into place on the case. A sheet of Lexan (a bit more durable and clearer than plexiglass, but just as easy to work with) will run your about $10 at any hardware store (got mine at Home Depot), and the molding can be found online pretty cheap, and the best price I've see is on Best Byte Computers (direct link:
http://www.bestbyte.net/Product.cfm?ProductID=598&CategoryID=28&Keyword=). It wont cost more than a few bux, and they also carry a wide selection of fans and other mods at great prices if you are looking to put a nice unique touch to your mod.
This probably will take you a while if this is your first time. I took me a few hours a day over the course of a week to do everything, mostly beacause I didnt want to mess up the $100+ case I just bought. First, draw out the shape of the window you want on the protective covering of the Lexan sheet, and cut it out with the Dremel. It should not have any sharp corners, as the rubber molding will not fit around them. I used a CD to get nice, rounded curves on my case (if you want sharp corners or any intricate designs, albeit not impossible, it will be difficult for a beginner if you have no experience in metal working or fabrication. I have a good background in woodworking so what I did was not too hard, and I wouldnt recommend anything more complex, because it will probably turn into a destroyed case, unless you are really really careful or have access to some higher level tools

).
Any how, this would also be the best time to cut out any holes for fans you may want to install on the window. I installed a 120mm fan to upgrade the 80mm fan that once lived on the side of my case, to have a quieter, more powerful fan blowing over my graphics card and passive northbridge cooler.
Your window should now be ready. Now time for the hard part - cutting the case. My Antec case gave me some problems because it is constructed of heavy weight steel. Lets just say that I went thru a LOT of cutting discs before completing the hole for my window in my case's side panel. Today's aluminum cases should cut through like butter, though.
Before cutting, you need to trace the window on the case. But if using rubber molding, you will need to leave a gap big enough for the molding and enough room to work in the window. 1/4" should be enough. The best way to do this is to use a washer where the distance from the outer edge to the inner hole is that much, then all you have to do is put the window on the case panel where you would want it to be, put the washer on the edge and a pen/pencil/marker/etc. inside the holde and draw around, spirograph style. You should now have an outline on your case that is exactly 1/4" bigger than the dimensions of your window. Now cut it out with the Dremel!
You are now ready to install the window. You may want to clean up your cutting with sandpaper or a sanding bit for your rotary saw, but its not completely necessary, as your molding will cover it up, unless it is a larger error.
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Before I go on, let me explain how the molding works. It comes in two parts, the main molding, nad the locking strip to keep in in place. The picture @ Best Byte shows the cross section of the main molding. The wide groove at the top is where the window sits, the thin groove at the bottom goes along the edge of the hole in the case, and the weird groove on the left is where the locking strip is installed (locking strip not shown in pic, but is included in the price). So after working the window and panel into their respective grooves, the window will be secure enough to stay in place on its own, but the locking strip is necessary to prevent the window from falling out when you push against it. This strip is simply pushed into the groove. Make sure you install the molding so that this locking strip groove is on the interior of the case, or else it will be visible and you will have to do it again.
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Wrap the molding around the hole in the case panel and cut it to size. Then remove the protective covering on the Lexan, work everything into place and install the locking strip. You may need a flat screwdriver to work the window and/or locking strip into place, but be careful not to let the screwdriver slip, or else u may get a few scratches on your new window (I got a few small ones due to my carelessness). Congratualtions! You are done

!
For a picture of my setup, go here:
http://www.cucommunity.com/photography.php?1834 .
For a ton of modding guides and the source of most of my research when I modded my case 2 years ago, go to
http://www.moddin.net . They dont update the site nearly as much as they used to, but it still contains all the old guides, articles, and reviews. A wealth of knowledge for any beginner looking to get started or an advanced modder looking for some new ideas.
This being my first post, I hope this guide was helpful. I know its a bit long, but I was trying to be thorough, which is hard without any visual help.
Good luck, happy modding, and try not to destroy your case...yet
P.S. I will be heavily modding and upgrading my system in a month, and will be making a full guide to everything I did, from installing, to modding, to some decent overclocking (hey, that rhymes

) on the website I am currently developing. I'm planning a high gloss paint job, custom etching on my window, Matrox Orbital LCD custom mounted on the top of my case, and much more. I will post here once its all done, but I'm sure you will want to get your modding started as soon as possible...
EDIT: Spelling/Grammar