I would stain the windows and the casings before installation. You may need to touch up the casing after it is installed but that should be easy.
The sash and weatherstrip are easily removable so you don't have to worry about that. Label the weatherstrip when you remove it so it will be easy to replace. Have your sales rep show you.
Prior to staining, condition the wood so that it takes the stain evenly. It wouldn't hurt to get some pine (or whichever species you are purchasing) at the lumberyard and test the color of stain. Another nice feature about Marvin is that there are no nail or staple holes that need to be filled. One last thing, remember to do the interior as well as the the top, bottom and sides of the sash and let it dry thoroughly before re-installing them. That's also what's nice about doing it before installation. Good luck!

Thanks, eastbay10! I'm glad to hear that the weatherstripping is removable. Can't wait to get started!

Good luck and post up some progress pictures.

Love the look of finished projects and real wood.