Every little girl wants a playhouse, and she wants her daddy to build it for her. A project like this is like building a house, just on a much smaller, miniature scale. Once you've built the floors, framed the walls, put on the siding and added a roof, you're ready to install your windows.
Buy plexiglass and quarter round from a home improvement store. Make sure you've taken proper measurements, so it will fit into your windows correctly. Get the plexiglass cut at the store, or do it yourself. You'll use the quarter round to frame both sides of each window, so again, measure correctly.
Use a saw to cut into and remove the siding covering the areas you've framed out for the windows. You can also use a router with the appropriate bit for this task.
Measure the width and height of the window opening. Get your quarter round and miter-cut four pieces to the proper lengths. The quarter round will hold the plexiglass in place, so you'll need to cut the same lengths for the other side of the window as well.
Start on the outside for the sake of ease. Nail the four respective pieces of quarter round to the siding, using finishing nails. The quarter round should sit flush with the siding and not stick out.
Move to the inside of the playhouse and insert the pre-cut plexiglass up against the quarter round you just installed. Nail the other four pieces of quarter round to the boards you used for framing out the windows. The plexiglass will sit in between the quarter round and stay secure.