storm window

from The American Heritage® Dictionary of the English Language, 5th Edition.

• noun A secondary window attached over the usual window to protect against the wind and cold.

from Wiktionary, Creative Commons Attribution/Share-Alike License.

• noun A detachable second window attached on the exterior side of a window in climates with harsh winters, to add an insulating layer of still air between the outside and inside.

from WordNet 3.0 Copyright 2006 by Princeton University. All rights reserved.

• noun a window outside an ordinary window to protect against severe weather or winter