So how do I create a rounded window like in the image
I tried to merge a cylinder with a block but on that way I don’t get s hole in that shape in the wall
I don’t know you workflow but the general shape is very simple…
…so positioning this multiple times onto your wall and delete the face only and then reconnect the faces…
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That topology, while simple, wouldn’t be subd compatible - so if you need a close-up of the window, it will look too low poly and there is no way to fix that. For the concept phase quick and dirty geometry isn’t a problem, but beyond that stage it will bite you in the you-know-what at the most unexpected and unwanted moments 
To prevent yourself from painting into the proverbial corner, it’s probably a good idea to learn more about mesh topology and use a topology such as this one:
So even at extreme close-ups the geometry still holds up well:
And it is possible to deform the windows now as well. Much more creative freedom and better quality renders!
I’ve attached the example blend for discovery.
window_mesh.blend (1020.5 KB)
PS to learn more about good mesh topology practices, check out this book:
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That’s why i said:
(with a typo)
But one also can simply extrude in place and scale and “align” the border…
…but it seems the OP is “constructing” via booleans and not modelling ??
…and by the way you have convex/overlapping quads
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If the example in the OP is the style you’re after, I wouldn’t even bother with booleans or holes but just make window and door objects (and beams etc) that you position in front of the walls.
Here’s a quick record of how I made the above example
Yeah, did that really fast. Should fix that, didn’t have time.
And I noticed other problems, so these must be fixed too.
edit fixed. And better flow now, as well as better deformation (averaged out polys).
window_mesh_example02.blend (1.0 MB)