I just finished re-finishing a couple of windows in my house so here's what I do.
After sanding to desired smoothness (I use 180 and 220 grit papers) vacuum well and wipe down with a tack rag. Remove the movable sash part and paint separately. Be careful not to paint the sealing gasket material.
Apply a coat of your favorite primer. Cover the entire sash but not too thick. I believe that part of the reason my windows didn't hold paint was two fold. First, I don't think the prep work was adequate. Second, the paint was on too thick causing it to check and crack in the freeze - thaw cycle we get here in Minnesota.
After the primer dries overnight, scuff it with 180 paper and top coat with the color of your choice. It's ok to use the same brush. Just be sure to clean it properly after each use.
Wait another 24 hours and top coat again. Now wait 24-48 hours and assemble window.