We have some windows being fitted and our kitchen one currently has the fan fitted in the glass. It's in a tight corner where the cooker is, and there isn't any wall space where we could fit one going to the outside world.
The new windows won't have the option to have the fan in the glass.
However, the window frame is quite deep (about 30cm and tiled) so one could fit on the wall there - but can you get one with a little hose that can hang out of the window?
Hope that makes sense! We have a hood fan but the kitchen gets very steams when I cook so we do need the extra fan power.