Just done exactly that.
Removed a steel (1950s) Crittal window. (Easy once you realise how they are fixed in) Fitted a quality DG window into the aperture, (£130 for 110 x 990mm) including fitting the glass within the frame correctly and aligning. Made good and sealed.
All done, 6 hours and a few more rendering the sill and surround where some of the render/pointing was damaged and loose.
As for the insulating, sounds like the room need a vent rather than cladding.