You can vent out the side wall above the window. The idea is to not vent where the fumes could come back in. I am not in favor of the ventless heaters although the retail businesses won in my jurisdiction and they are legal here. We have had deaths but they have been improper installations or lack of maintenance.
Have you considered the pellet stoves? I get awfully good reports back on them. From cost, cleanliness and warmth.