It sounded from the OP as though there is a gap between the window frame and the cementitious wall assembly-that's how I read it. I'd use low expansion foam to fill and insulate that gap, finishing with a premium silicone sealant. An alternative to the low-ex foam is a stuff called backer rod. It is a circular foam strip available in different diameters, and is stuffed into building cracks with a broadknife prior to caulking so you don't need 22 gallons of caulk. Rope caulking or non-hardening putty is available under the trade name 'Mortite' and comes in gray and brown. It's similar in consistency to oakum, the product used in shipbuilding.
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