first of all, You need to notify your local building control office about modifications of this type nowadays.
Before you go taking the old frame out, try to assertain wether it is holding anything else up. Somtimes, (especially Bay windows, or oriel types), there is no lintel above the frame. If this is the case, temporary support will need to be provided (in the form of accrows or whatever).
The rest of this post assumes that you have a nice simple job. (lintel going across the top of the frame), you will probably find that the frame is sat on a bed of mortar and the sides have fixings holding the sides to the masonary. (these fixings may be invisible until you take the frame out. The top will just sit beneith the lintel with either mastic or sand and cement to fill the gap.
Before taking out the old window, double check measurements of the opening (from outside the building) and compare against your replacement frame. Also take steps to make sure no-one is going to stray into firing range once you start to smash the old one out. (especially if it's an upstairs window).
The old window frame comes out through the outside of the opening. So most of your work for removal is going to be carried out from the inside (pushing it outwards).
Remove as much of the old glass as posssible then, by judicious use of a jack saw and club hammer, remove the inner structures of the window frame, leaving just the four sides. I find it helps, at this point to saw through the sides of the frame near the top, and then tap (quite heavily) the top cross member out.
Then with a bit of persuation (from the club hammer again). Work on the side pieces alternatively, to edge them out. (the outer cill will come too). Try not to damage the plasterwork as you do this. This will keep your making good to a minimum. It may help, to use a large coal chissel during this process to "focus" your blows where the fixings are holding it to the walls.
It may be possible to remove the old frame whole, but if you're not considering re-using it, I wouldn't bother trying.
Remove any grot from around the opening. (loose mortar from under the cill, old mastic from sides and top). If there are frame brackets still bedded in the mortar joints, remove them if possible, or bash them flat.
If any of the glasswork in the new window is removable, take it out. (it will make it lighter and easier to manhandle).
Offer the new frame up to the hole. Check to see if you can get it to but up against the raw edge of the plaster, where the old one came from. If you are going to replace the inner window cill, remove the old one now. If you are keeping the existing one, ensure that it is not stopping the frame sitting properly against the plaster.
Check that you have some clearance above the top of the frame. On the underside of the Lintel you may see a "drip" (a slot running along the underside of the lintel near the outer edge). This should be outside the frame, so check this also.
Once you are happy that it is going to fit properly, remove the frame and spread a layer of mortar on the top of the wall. (across the bottom of the opening) about 10mm thick. Run a thin bead of silicone around the raw edge of the plaster. (hopefully this is still nice and straight.). If you're old inner cill is still in place, run a thin bead of mastic on the outer edge of this too.
Put the frame back in place on top of the mortar, and tap down a little, to square up the frame in the opening.
while holding the frame in place, put some frame fixing screws through the sides of the frame, into the adjacent brickwork. Do not over tighten as they may pull the frame out of square. Check that the frame is not being distorted, by means of a straight edge up the sides of the frame and a large set square in the corners.
Once you are happy that the frame is in the right place, remove any excess silicone that has squidged out with a damp cloth, then go outside, and tidy up the mortar joint under the frame, with the back of a trowel.
replace any removable glass panels that you took out earlier. Finally go back outside and run a bead of mastic around the perimiter to seal it. If there are some big gaps, you may want to use some expanding foam in the gap, before finishing with mastic.
If you are fitting a new cill, put this in place now, (with a thin bead of silicone to but up against the frame).
There is more than one way to skin a cat though, and I'm bound to have forgotten something, so don't be surprised, if someone else tells you different.