Install the window in the frame, according to the manufacturer's instructions. Once the window is installed, you will need to cover the flanges with flashing then the moisture barrier for the brick veneer installation. On top of this is the wire mesh for the brick and finally the veneers.
Adhere the flashing to the edges around the window with caulking adhesive. You cannot use nails as this will cause eventual leaks due to penetration. Cover the flanges for the window with a fabric-based flashing material, such as a piece of tape. Cut the pieces of adhesive flashing material with a utility knife and cover all of the flanges around the window.
Install the moisture barrier for the brick veneer on top of the flashing material. Common moisture barriers are sheet plastic or tar-based felt paper. The goal of moisture barriers is to keep any eventual moisture that wicks through or condensates on the backside of the siding to spread out across the surface and eventually work its way into any flashing in place, where it is forced down the wall to weep holes that are installed at the base along the foundation. Install the brick veneer on top of the moisture barrier, tight against the window frame on top of the barrier, flashing and flanges.