Sometimes small gaps or cracks appear in windows where the glass pane meets the interior wood of the window frame. When the window is originally installed, a type of putty or caulk is applied to the seam with a specialized knife that seals and waterproofs the seam. Over time, the putty hardens and can become cracked, eventually falling out in small pieces, leaving gaps behind. In this case, it's a good idea to remove the old putty and put in new.
The exterior of your house's windows needs to be sealed against the elements as well. The outside seam where the window frame comes into contact with the house is a key spot for gaps or voids that need to be filled. Rather than using moist putty that is applied with a knife, larger cracks outside are better filled with caulk applied in a continuous bead with a caulk gun. Like putty, it is soft and pliable when it goes on, but hardens slightly over time.
Often a new window installation leaves you with gaps of an inch or more between the frame and the house. Neither caulk nor putty is good for filling such large spaces. You might consider using a spray foam insulation which, once applied, expands to fill nearby gaps and cracks. Spray foam insulation hardens to the point where you can sand, paint and stain it, which makes it an excellent alternative to caulk or putty, especially when you have large spaces to fill.
Using caulk, putty or spray foam to seal the edges around leaky windows is not difficult, and the money savings and comfort gained should be well worth the time investment. It's not hard to figure out where you need to apply a sealer material. There's a good chance you can feel a breeze on your skin every time you walk past a leaky window. Make sure to examine both the inside and outside of the window frame, because the crack might only be visible from one side.