A window in a shower poses some challenges, chief among them the need to protect the window from water damage and to preserve the privacy of the person who's using the shower. The most effective solutions for these challenges require that you think about them early in the design and construction process.
Water is hard on building materials, and that includes the materials used in many window frames. Wooden window frames may absorb water and swell in the humidity of the shower, and continued exposure to excessive moisture will cause the frame to deteriorate. The best solution is to choose a vinyl-clad window frame; the vinyl exterior of the frame won't be damaged by water, and it will prevent moisture from reaching the interior wooden structure of the frame.
Of course, water won't damage the window if it never gets to the window, so if you've got the option of choosing where your shower window will go, it's a good idea to locate the window so that the shower doesn't spray directly on it. If it's out of the shower spray, the window's overall exposure to moisture will be less, and it won't be subject to the pressure of the spray, which could force water to infiltrate the window structure.
It's important, also, to install the window so that the entire frame and jamb is water-resistant. Use cement board on the wall around the window, and run the board tight up against the window jamb. Caulk the joint between the wallboard and the jamb, and then cover the joint with a waterproof membrane. If you're covering the wall with ceramic tile, extend the tile around the corner of the jamb to the window frame itself. The window sill should angle slightly downward away from the window to prevent water from pooling on the sill.
Like vinyl window frames, vinyl blinds won't be vulnerable to water damage and are a good low-maintenance option for an in-shower window covering. Metal blinds will hold up well to water, but if their finish is chipped or scratched, the exposed metal may rust. Avoid using wooden blinds or shutters in the shower unless they're finished with a water-proof varnish. Fabric curtains will be susceptible to mold and mildew, so if you want to cover a shower window with curtains, use vinyl instead; a cut-down shower curtain is an option if you can't find vinyl window curtains.
Other Privacy Options
If you don't want to deal with window coverings in your shower, alternative privacy solutions include frosted, textured or patterned glass that lets light enter but doesn't allow a clear view through the window. If your budget doesn't allow for expensive privacy glass, stick-on privacy films are a less expensive option.