okay, this question has been answered before in a number of posts (such as heree](https://www.reddit.com/r/AskHistorians/comments/1gemiw/when_were_glass_windows_first_used_and_what/)) but I'm going to butt in with my own personal research as both someone who worked as a glassblower for years, and is now retraining in architecture.

The use of glass in architecture goes back to pre-roman times but was in all probability hideously expensive. The first roman glass windows that have been discovered appear to have been made by pouring molten glass into a square clay mold.
As you can imagine this process was prone to stress and fracturing, and for a long time it proved easier to use thin sheets of translucent stone such as alabaster or mica in order to transmit light. (look up the mausoleum of Galla Placidia for a good example)

Full scale production of window glass did not come about until the invention of iron pipes around 100 BC. Soon after this, the technology of glassblowing advanced quickly and the production of "Muff" glass sheets came into use in order to produce glass large enough for windows. The muff process involves blowing a cylinder of glass which is then snipped lengthways and flattened out in order to produce a sheet. This process continues to be used for production of flat glass for certain applications to this day (mainly stained glass windows). Production video here

Since you only ask about the first use of glass for windows, I'll curtail it there.

Almost certainly there are other production methods that were investigated to a greater or lesser degree but the main focus of my research was on later periods and I don't want to be too inaccurate.

References; Roman Window glass: a comparison of findings from three different italian sites, R. Arletti et al