Contact your local building inspector to learn about safety code requirements and obtain a permit if necessary.
Measure the area where you will install the bay window and mark the measurements on the outside wall. Determine the angle of the bay window you prefer. Remove the existing window by removing the sash stops, sash and tracks.
Enlarge the space to the size that will accommodate the new window. Use a circular saw to cut through the existing studs. Build the window frame according to the specifications of the building code by installing a header at the top and a sill at the bottom. Install studs and blocks for support.
Install support braces to the rough window sill to secure the window. Lift the center window into place on top of the support braces. Use shims to level the window and screw the window into the frame.
Construct the roof frame and nail it to the bay window frame. Install plywood decking and fill the space between the roof frame and the window with insulation. Attach roof sheeting to the top and add roofing paper. Attach shingles in an overlapping pattern.
Apply caulking around the edges of the bay window to make it airtight and waterproof.