You only nail into the wall through the drywall. Do not nail the window. Remember, too, that you have to build the trim one board at a time. Read the entire article before buying wood. Match the wood style in your house so this window does not look like some "add on."
Oh, in case it does not say it, you have to counter sink the nail heads so you can fill the holes and paint over them. This leaves you with a nice flat finish.
Keep asking questions . . . you can do this one step at a time . . . just remember to hit the head of the nail, not the finger nail.