Flat Feed-Through
By far the simplest way to connect the radio to an outdoor antenna is with a flat wire feed-through. This is a strong, flat wire encased in plastic with a coax connector on both ends. You simply lay the feed-through on the windowsill with one end outside and one end inside. Connect the antenna to one end and the radio to the other, and close the window. The window should close completely. If there is any space at the bottom of the window, it can be closed with weather stripping. As of February 2010, a flat feed-through costs between $20 and $50.
Feed-Through Panel
Using the same basic concept as the flat feed-though, the feed-though panel is a metal panel with one or more coax connectors going through it. The panel is mounted on a long, thin piece of wood that sits on the windowsill. The window then closes on top of the panel. Unlike the flat feed-through, the window does not close all the way because the panel blocks it.
The advantage to the feed-though panel is that it is stronger and more reliable than the flat feed-through. In addition, most panels come with more than one coax connector, so you can have several radios connected to the antenna. As of February 2010, a feed-through panel costs between $70 and $100.
Drilling
The last option is to simply drill a hole in the wall of your house. Obviously, this method has several drawbacks. If you rent your house, your landlord will probably not allow it, and if you own your house you may not want to damage your biggest investment.
However, if you do decide to drill a hole, you can buy a bulkhead adapter that will fit into the hole. A bulkhead adapter is a female-to-female coax connector that is long enough to fit through a wall. Drill a 5/8-inch hole through the wall and push the adapter into it. Connect the antenna to the outside of the adapter and the radio to the inside. As of February 2010, a bulkhead adapter costs between $2 and $15, depending on the length.