Hi Sandra --
I'll assume this is a wood-framed window (if it's single pane, that's most likely). Look at where the glass meets the frame. One side will be just wood with the glass behind it. On the other side you will see a different material pressed up against the glass -- this is glazier's putty. You will need new glazier's putty to put in the new glass, and some small metal doo-dads called 'points' (some look like tiny triangles, some have little flaps sticking up that make them easier to put in). You can get points and glazier's putty/compound at pretty much any hardware store. You'll also need new glass (cut to size), a putty knife or utility knife, a broad bladed screwdriver or wood chisel, and safety glasses and gloves wouldn't hurt.
Carefully remove the broken glass from the frame, then remove the old putty and points. Carefully measure the window opening on the side where the putty was -- the glass needs to fit up against that edge so the wood "lip" on the other side will help hold it in -- like a picture in a picture frame. Place the glass in the frame, and use the points to hold it in while you put the putty on (the points should be left in, the putty will cover them).
Place a point flat on the glass, and use the screwdriver or chisel to push the point into the wood. Put in a point about every four inches around the glass, don't try to put them directly into a corner. You can use a knife or your fingers to press the putty down around the glass, and slope it up to the edge of the wood. The putty should go up the glass to match the height of the wood lip on the other side. Press the putty firmly into place. It stays soft for a while, so you can make it look neater after you've got it all on. Let it dry for a while before painting it -- the can of compound should have some guidelines.
RobR, February 2006