if everything is the same you can just make one part of the wall with a window
duplicate that
move the duplicate around to get it into position
you can change the pivot point and snap it to a particular vertex so then you can precisely move the duplicated geometry inline with the other one
or you could use duplicate special and do a translate

select all the geometry, mesh > combine (or hit the button on the polygon shelf), go to vertex selection mode, select all the verticies, find the merge vertecies option box button in the modelling menu set, change your threshold to something low, like 0.01, hit apply and everything is combined happily

if things are all different then you don't have much of a choice but to do them one by one, or do what i said above and then change the windows after.