The way I would do it, simply, is to make a solid component that is exactly the same shape on its perimeter as your custom window, but a few inches thick.
I would not use the custom window component itself as that probably has far too much detail in it and that makes the next steps harder.
Place the template on the wall where you want it and move it into the outer wall surface about 1/2 way the template thickness.
Edit the wall, select the wall surface only, and Intersect with Model. That will create a face that matches the window profile.
Delete the template or move it away if you need it again. That will show you the window outline on the wall.
Select it and Push/Pull it to the inner wall surface. That will create the window opening in the wall.
Place a copy of the custom window in the opening.