You can install the windows and exterior doors after you tape the OSB sheathing, and before installing the siding. Ensure that the openings are square, level, and plumb. Windows with nail fins are better for new construction because they are easier to install and waterproof. Prior to installing the windows, window flashing tape should be applied around the wall penetration, as shown in Figure 7. Cut two blocks of foam or weather stripping approximately a quarter inch thick each and place them on the sides of the sill, near the corners. Tape them in place so they won’t move. Apply silicone to the outer side of the wall approximately a quarter inch from the top and sides of the wall penetration (not the bottom). Next, set the window in the opening, and ensure that it is plumb and level (shim if necessary). Attach the nail fin to the wall, spacing the nails approximately 12 inches apart. Do not place fasteners within 6 inches of the corners. Next, place window tape on the sides of the window so that it is slightly covering the fasteners in the nail flange. Place another piece over the top of the window in the same fashion, covering the tops of the side pieces.
Figure 7. Window Flashing Details (Source: Best Practices Guide to Residential Construction)
You should install exterior doors on top of a sill pan, which you can attach to the floor with three parallel lines of silicone. You can buy the sill pan or fabricated it from sheet metal. The door should be tipped into place from the outside and installed according to the instructions that come with the door.
Here’s a great video to help drive home the basics.