The key to keeping the skeleton of your house nice and dry is wrapping it up with a house wrap. Its pretty basic and straight forward to work with and increases the life of the house you worked so hard to build.
This is going to be your basic cut pattern when opening your windows. Wrap the excess into the interior studs and staple them down. That way even if there happens to be some water leakage through your windows the water will have a harder time being soaked up by your homes framing.