Wondrous Items 4e

[HMS Invincible]

What is a window of escape? Is it just a frame that I carry with me and I can use to jump out of any room by affixing it to a wall? Or is it a special window that has to be crafted and placed before hand into the building?

[tcrudisi]

It is a "Wondrous Lair Item" and thus is not portable. They are meant to be placed in the adventurer's homes or base of operations. In fact, per the Adventurer's Vault 2: Unlike most magic items, lair items aren't portable; they must be left behind when a hero goes exploring.

I realize that doesn't answer your question per se, but it should help you out with the spirit of the item. If I were DM'ing, since it specifically says that the item is not portable, I would not allow adventurer's to carry it with them and affix it to a wall to jump out of. Instead, I would have someone come to their lair and build it into the wall.