Using the subtract is bad practice, as it yields uncontrolled and often undesired results. Generally I use the clipping planes for this. Create your wall. Say you have something like this:
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|_________|Now, with it selected, shift+right click twice to set 2 points where you want the top of the window to be. Then select the "split" button. You'll end up with something like this:
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|_________|Now select the bottom part if it's not selected, and shift+right click twice more where you want the bottom edge of the window to be and split again:
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|_________|Now select just the middle section, and shift+right click where you want the left edge of the window to be and split:
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Finally, with just the right side of the middle selection selected, shift+right click to create the right edge of the window. Make sure the window part of the brush is the one that's going to be removed (use the flip button if it's going to remove the wrong side), and use the carve button to remove the window section.
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