Super simple job and you only need one tool, a small container of glazing compound and some window points to do it.
I would first look over the window and see if it's even worth saving. If it's all rotted out then stop and look into a replacement window.
If the reason the panes are missing is someone broke the glass or the old glazing compound fell out then clean up the area where the pane goes, prime the bare wood with an oil based primer, some people use linseed oil instead.
Once it's dry thake a small amount of the glazing compound and roll it between your hands forming a long thin string, take that string and put it around the back side where the glass is going to be sitting.
Once that's done, press the glass in place. Now set the window points in place using the flexable 1" wide puddy knife to set them. (the arrow looking point goes into the wood, just rock the blade back and forth and they will go in.
Now get a bigger blob of glazing and once agin roll it in the palm of your hand forming about a 1/2" string. Press that in place around the window, use the putty knife to compress it in place.
One last step, I dip the putty knife in water and start to smooth the whole thing out. Trim off the extra.
The water helps to keep the glazing from sticking to the knife.
It takes a little practice to get it real pretty the first time, just have fun with it, it's no harder then playing with silly putty.
The reason you prime or use the linseed oil is to protect the wood and to seal it so it does not suck out the oils in the glazing compound.
Glazing compound is sold in the paint dept, the points are sold where they cut window glass most often. Do not buy the ones that look like a triangle.
