Step 1 - Remove old window
Step 2: add a strip of wood along the bottom to act as a dam, so any water that may get in there will flow outwards, not into the house (this is a back-up as an extra protection against water infiltration)
Step 3: Apply red goop and then membrane on the bottom of the window opening. The membrane does have an adhesive backing, but they say the red goop helps it stick even better!
How it looks from the outside. Notice that the grey part is lapping over top of the white part, which will then overlap the rest of the building paper.
The red goop:
Another view of the sill detail, from inside the house:
Step 4: put this stuff along the sides of the window:
Step 5: put a bead of this black caulking type stuff around the window:
Step 6: pop in the new window!
The new window from the inside: