Answer:
Typically, the goal in caulking is to prevent air leaks (drafts).
Generally you use silicone sealant tubes in "caulking gun". The gun and tube of sealant are essentially a giant hypodermic; as you crank the gun handle, it presses the plunger down, forcing the sealant out of the tip.
You have to cut the end of the tip off to allow the sealant to flow. If you stop in the middle of a tube, plug the tip with a nail, to prevent the sealant in the tip from solidifying and sealing the tip. When you're ready to continue, pull the nail out.
Most caulk is silicone based. There are special formulas for particular uses, for example in bathrooms.
When sealing windows, the goal is to close all gaps to prevent hot air from leaking out and cold air from leaking in. The gaps are typically in two places; where the glass meets the window frame and where the exterior window sill and frame meet the wall. You have to examine your window and determine where you need to caulk the most.
When you caulk, it may take some practice to get the right combination of pumping out the caulk and moving the tip at the right speed to leave a good line of caulk along the seam without leaving blobs at particular points.
It may be useful to smooth the bead of caulk with a fingertip. Check the details on the caulk to make sure this is safe, but it probably is. WARNING: There is caulk and there is glue, liquid nails, etc. BE VERY VERY SURE you as not using something dangerous before you handle it with bare skin.