You just build it as you want it, a series of extrusions, sweeps, etc. For corner windows you need to make a void in an 'L' shape so it will cut through 2 walls, I believe there is a corner window you could study in the online content available at autodesk.com, for circle, I believe there is a circular window in the revit OTB library, but its very simple, just edit the rectangular opening in the family to be circular, give it a radius parameter, then use a sweep or extrusion for the frame and glass.