A window is the frame around the program that you are probably looking at now. It includes a number of standard format things so that a person who has worked with other windows can probably work in another, such as the close button in the upper right. It is primarily visual and mouse oriented although Microsoft has set standards so that almost everything almost all the time can be done from the keyboard.
For the user, Windows or using a window, means the shape of the viewing area, the number of windows on the screen, the ability to have two or more programs open and move data between them, are all under control of the user instead of the programmer providing only limited functions (as in, for example, the original Works which provides much the same but only worked with itself.)) Some users only want to see one thing on the screen at a time so use commands to bring up a new hidden view while others want the edges of several program windows showing, like paper on a desktop and click to switch back and forth - nice if using mouse commands.
For the programmer, it means that old habits have to be killed off. For example, the user can do anything at any time, including quitting, so programs have to have safe exits and have to undo commands half-done. The user can make the window any size, so program choices must do things relative to the window, not in absolute locations, and work best if not way off to one side of the window where scrolling is required to find them. Some programs make stuff overlap other stuff if the window is narrower than full screen. Users expect almost all commands to work by mouse select, mouse right click (context menu), keyboard menu access, and keyboard short cut. Also, Windows programming is sort of object oriented, so instead of writing commands related to screen content and location, the programmer is picking buttons and lists and other objects and tinkering with properties. For me it is the difference between making builtin or custom furniture and shoving stuff around as an interior decorator.