Larger no-tech tanks can often cope with a fair amount of direct sun as their size helps moderate temp swings; smaller/pico tanks and vases do better in indirect and reflected light. Direct sunlight, even early morning or late evening light, is an algae magnet. Even that's not necessarily a deal breaker, as it sets up the ideal conditions for--eventually--having a thick algae layer on the window-side surface that provides ideal grazing grounds for shrimp.
How much light will be needed--and how much your particular window will provide--is a matter of experimentation. A well placed lace curtain or frosted window covering (on the window or the tank wall) can reduce light levels or, if your vase is on a wider counter/table top--a well placed houseplant can offer needed shade during the brightest periods. Where there's direct sunlight, I try to place the vase at least 3-4' away from the window; indirect I'll set up a means to place the vase right in front of the window.
In terms of set up--clean the container well, making sure to rinse it thoroughly to remove any residue, and add your substrate. Add water--I usually use water from an established tank--and plant up. Most folks will tell you to plant heavily, and generally I do, but I've found small vases work just as well being only lightly planted at first so long as some of the plant mass is fast growing--floaters, certain stems, etc. Until you get more experience, add stock slowly. Early on I'd add a pond snail as my test pilot--when it quite climbing out of the water I knew I was good to add additional snails or a couple small shrimp. Once they'd done well for at least a month, I'd consider adding larger stock/stock levels. These days, 100+ pico setups later, it's a lot easier to jump ahead and figure things out to allow almost immediate stocking.
Don't forget hardscape either--pico setups are a great place to scraps of wood too small to be worth bothering with in your larger tanks. Part of the charm of tiny tanks is the ability to set up and break them down at whim to play with ideas--getting in the habit of tucking smaller pieces of wood in the back of your larger tanks will give you a ready to hand, BB and biofilm laden bit of decor whenever you need it.
Water changes will depend on the setup--but I generally aimed for 10-25% weekly with an occasional 50-80%. Weapon of choice was airline hose-the small diameter worked well to get in between plants with good suction without pulling out water too fast. Using R0 water for topoffs can help reduce the need for water changes; evaporation can be a bugger in small vases and TDS can skyrocket quickly.