Window casings can be made from about any kind of wood that fits your tastes and the decor of the room. You can buy pre-formed casings from you local lumber yard or home center. Alot of folks opt for using a product called MDF (Medium-density fiber) for window & door casings, baseboards etc. This comes preprimed and ready to paint in various lengths from 8' tp 16', you just cut to length, and cut your miters & then install and paint.
If you opt for a hardwood casing like oak, you will need to predrill holes for your nails.
Hope that helps.
All you need is ignorance and confidence and success is assured. - Mark Twain