The necessity of having windows on any building’s façade is not questionable. However, not every window is suitable for any building. The selection of an adequate window must include the analysis of various factors—the most important ones are the type of window (e.g., single or double glazing); filling gas in cavities (e.g., air, argon or some other gas); and placing, i.e., orientation of a window on a façade (facing north, south, or east, etc.). The research presented in this paper is dealing with the calculation of the window thermal loading for the cities of Kragujevac and Bor in Serbia and Žilina in Slovakia. These three cities were selected because they belong to different climate regions, according to the Köppen–Geiger climatic classification. The first two cities in Serbia belong to the same region Cf with difference only in the category of summer—Kragujevac Cfa and Bor Cfb—while the third city—Žilina in Slovakia—belongs to the Dfb region. The calculated thermal loading through the window was obtained as a sum of the thermal loading due to the heat conduction and thermal loading due to the solar radiation. The objective was to find the optimal window construction and orientation of a building’s façade for each of these cities, by varying the type of the window, its frame material and the filling gas. The results show that for the first two cities in Serbia, there is a difference in the window frame material in the optimal window construction, while for the third city (Žilina in Slovakia), the results are the same as for the second city (Bor in Serbia) despite the fact that they belong to different climate regions (Cfb and Dfb, respectively). These results support the fact that the climate affects the optimal window construction for any city/region in the world.