Big issue will be the creation of seams in your vinyl siding unless you replace it all. The jist of this job is going to be (1) remove any interior and exterior window trim, (2) remove/cut any nails/screws holding window to framing, (3) remove window, (4) place studs where window was...spacing should be 16" on center but in this small place you can do what is needed, (5) Seal the hole so water doesn't come in from the outside or inside. From there it is your choice on how to finish the shower, drywall is frowned upon in showers unless you make water tight and your exterior will need sheathing and maybe tyvek or insulation before you can run siding over it. Best idea is to SEARCH for these answers because they exist.