Unfortunately VectorWorks doesn't handle this very well at all.
I've found the best method, if you're not worried about the 3D aspect of it, is to use create a group of suitable polygons to represent the window and place them over the wall.
If you're doing it in 3D you'll have to do a lot of manual modelling. Or, you could use OzCad's WinDoor plugin:
http://www.ozcad.com.au/otherproducts/vwaddonsWD.html