Replacing windows for DIY?
I recently replaced a window with a pair of French doors. This is a somewhat larger project than you discuss, but there may be similar issues. In my case, I had to install a new header (steel I beam in my case). If you replace your windows with an identical size, you probably will not have to do this, since the existing header is probably fine.
The hardest part about my installation was the flashing. The manufacturer (Marvin) provided detailed instructions on flashing procedure, which I followed, and have had no issues. In my experience, window flashing, while not rocket science, requires careful attention to detail, and seems to be the single most common error. Another common problem I have seen is inadequate drip cap installation. I made my drip caps from sheet copper, but you can purchase premanufactured Z flashing in a variety of materials, or your replacement window may have a built in drip cap.