It's Finished!!
WHEW! I finally finished it. I figured about 6 hours, but probably fours hours of that was locating parts, tools, and supplies. (and trying to find stuff I already bought.. What a mess!) Thanks to a lot of good advice, I was able to complete the task, and in a fashion I hope will last a few years.
I drilled the holes in the siding as told.
THAT was a real pucker factor, hoping I had everything right, checking etc.
Before I made the cuts (gulp) I used some gorilla tape on the outside-I figured the tape would keep the fiber cement siding panels kind of together, maybe prevent nasty edges. I cut thru the backing, the siding, and the gorilla tape. It seemed to have worked.
BTW, I tried the saws-all to cut the hole-and the blades ALL dulled in about 6 inches of cutting, or less. I finally bought a composite blade for "abrasives" like brick, cement etc and it cut great...Albeit expensive.

You can't see but I used the flashing that has the butyl rubber backing...
Then I shimmed, and temp'ed 'er in with two screws on upper right and lower left corner.. I traced a pattern based on a 1x4" molding, and then cut away the fiber cement siding with a HF tile/masonry cutter. I of course put up some 1x4's to use as a guide--slight problem, the depth of the saw only was 1.5 inches, that's about a 22/32" thick guide....Argh! So after I finished I had to go back and cheat a little freehand to cut all the way through. No worries! All but the top edge turned out great, and I smoothed that out with shop tools...
Afterwards, I siliconed the flanges of the window, replaced temp shims and screwed 'er in. Then more flashing around the flashings as per Jeld Wenn, then I did my best impression of a carpenter and made the miter window moldings.
Then I caulked the window, small gaps between the window and the molding. On the window-to-siding joining, I heard you can leave a slight gap for expansion, so I did, and caulked that gap too.
So it's done. All I need to do is paint (I have some extra lying around somewhere, the shed is only 9 months old....

It's not perfect, but it is done. Learned a few things, most notably,
1) If you want a window in a shed with fiber cement siding, put it in BEFORE the siding is installed. BTW, I could find NOTHING on YouTube about putting in a replacement window over a wall that has fiber cement siding. Trust me I looked...
2) It is good idea and saves lots of time if you have the right tools, and all the supplies BEFORE the job starts.
3) The people at Garage Forum are great. Thanks to all that helped, commented and advised.