It is worth noting that you do not always need to dig a window well. Often, due to the grade (the ground outside), your foundation may have a clear shot to the outside.
Digging a window well is a time-consuming project that may be worth hiring a contractor for.
Pictured here is a window well cover. You will probably want to add a window well cover so that children and pets do not fall into the window well, and to mitigate heat loss from the basement.