You could create the window frame with the glass as a plane and group them together. But make sure they both have their own material ID, so when you're in CE3, you can create a sub-material. There is a Glass shader that works pretty well, but you can do it the older way with the Ilum shader. There's a glass tutorial on Eat3D for free that uses the Ilum method.
This should be able to answer every question you have about how to create windows and glass in CryEngine. This can be typically applied to any game engine though. The mesh he's got in there though is combination of a metal trim texture and a glass texture, so a multi-sub material essentially.
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http://eat3d.com/free/cryengine3_glass