Sketchup won't download for some reason, just keeps loading the page.

Sounds strange. Did you try to download KMZ format from the 3D warehouse and import directly? In that case you don't need Sketchup.

I tried creating my own with some boxes directly in SH3D, but that's not how it's usually done, right?

Whatever works [:)] The Service Hatch is quite useful for simple openings, but does not have a window pane. If you want to create your own simplistic window model, you could:
- Open a new file;
- Draw a wall the size of your frame;
- Import a transparent surface (e.g. this from SF 3D 303), make sure Door/Window is checked;
- Resize, and place the transparent surface exactly in the wall (frame);
- Select all, export selection to .obj;
- Import as a Door/Window.
ok