You will need to cut out existing framing to create a new rough opening for the window. The frame opening will include a header between 2-king studs, supported on jack studs; a sill plate on cripples and stringers for the side opening. It is explained well at this link:

http://www.blackanddecker.com/ProjectCenter/DocumentView.aspx?DOC_ID=p_2_76_20150_20176_20215.html

The normal framing of a wall is illustrated here:

http://www.taunton.com/finehomebuilding/pages/h00023.asp

The framing will take some time and planning. Be sure to draw it out on the wall and estimate the materials you will need. The mounting of the window is easy if it has nailing flanges, and the opening in the shed siding should end up being just the size of the window opening. The new framing will support the window. Keep in mind that sheds are used primarily for storage and installing a large window may interfere with storage, and in vulnerable to being broken. a metal screen like hardware cloth, stretched over the framing on the inside can protect the glass from being broken by shovel handles and other objects that might fall against the window.

Thanks for the help. The window came out great. My shed now looks less like a monstrosity and more like an actual friendly backyard shed... with natural light.

Thanks again!