Assess whether it is worth the effort to install the window in the first place. This will boil down to the type of material the door is made from. A wooden door will be easier to cut than will a fiberglass or steel door. The amount of money you may spend on tools and materials to cut a steel or fiberglass door may outweigh the cost of a new door with a window.
Ensure that you have a window that will meet your local building codes. Tim Carter of Ask the Builder notes that building codes usually require that you have tempered glass that will not shatter into a million shards if someone sticks a hand through the glass. You also must decide between decorative and non-decorative glass or even energy-efficient double-paned glass.
Remove the existing door by removing the pins from the door hinges. You can do this with a screwdriver and a hammer. Simply wedge the screwdriver head up under the upper lip of the pin and tap the handle end of the screwdriver upward to remove each pin. Place the door on a pair of sawhorses so that it lays prone and ready to work on.
Mark the door where you intend to install the window. You can simply use a pencil and trace around the window frame or glass to accomplish this task. Ensure that the door can be cut if you are using a material other than wood.
Cut the opening for your window. This is a fairly simple process once you have the window opening marked. Drill a hole so that you can get your reciprocating saw in to the hole and begin cutting out your window opening. Leave a minimum of 1/8 inch around the opening so that the glass has room to expand and contract with the weather. Failure to do so could cause the glass to crack.
Paint the exposed wood. This is important because it will help provide a protective seal that will keep the exposed wood from experiencing wood rot if it comes into contact with moisture.
Insert the window into the opening. Secure it in place with wood screws or the appropriate fastener, depending upon the type of door you have.
Waterproof the window with a layer of caulk around the outside edge of the window. Repeat the process on other side of door and allow it to dry.