Install key-type locks on your windows, preferably with dead-bolts. Some can be locked in an open position or drill a hole into wooden sash frames with the windows in a closed position, and insert a nail.
Consider shatter-proof laminated glass or plastic as a replacement for decorative windows adjacent to entrance doors which, if broken, make it easy to reach in and unlock the door. Glass doors can be similarly protected.
Don't overlook basement windows. If you never open them, nail them shut or replacement with the non-opening type or with glass block. Remove the handles from basement windows.