The authenticfarm method of window awesomeness
Honed over a summer of replacing glass in a 1928 house restoration
Step one: Find some scrap lumber. Anything will work. Pallets, 1x4, 2x4, whatever will fit your wall. If your walls are 2x6 construction, use 1x6 or 2x6. Just build something that will fit between your wall studs.
Step two: Build a square frame with a lip inside (use spare pine or hardwood quarter round, or rip lumber into 1x1 lengths). The lip will be to the inside of your coop and will keep the glass from falling inwards.
Step three: Measure your frame.
Step four: Call your local glass shop and order a piece of glass to fit inside your frame.
Step five: Pick up the glass on your next trip to town. Don't make a special trip or your gas will put you over the $5 mark.
Step six: Cut hole in coop wall, between the studs, that will fit your new window. Measure twice, cut once. Use scrap 2x4s (or 2x6 if you have 2x6 construction) to build structure above and below the hole.
Step seven: Insert frame, nailing through frame into your 2x4s. If it does not fit tightly, use shims (aka more scrap lumber) and cram scraps of insulation into the spaces around it, or use spray foam if you have it.
Optional step seven-B: Paint frame using whatever paint you have lying around. If you want it to look pretty.
Step eight: Insert glass into frame. Secure with glaziers points, if you happen to have them, or use tiny finishing nails and be very careful not to break your glass. (You should be able to purchase glaziers points at your glass shop. Or they'll just give a few to you if you smile nicely and say please. Glaziers points are just tiny diamonds of metal, and if you don't have a glazier's tool, a staple puller works really well to push them into the wood.)
Step nine: Caulk around the edges with whatever outdoor caulking you have on hand. If you're a messy caulker, use painters tape 1/4" away from edge of glass to make a neater job of it. Again, your caulking should be on the OUTSIDE of the coop so the chickens don't peck away at it and eat it.
Step ten: if you want it to look pretty and/or prevent chickens from eating the scrap insulation you crammed in there, make window casing on the outside and inside from more scrap lumber. Pallet boards or scrap 1x4 will work perfectly.
Step eleven: paint casing if you want it to look pretty.
Step twelve: if chickens will be able to get to your window, use scrap metal screen, hardware cloth, stucco wire or chicken wire to protect the glass inside and out from flying chickens.
Glass is cheap, and if you use scraps and whatever you already have for the rest (I always have spares of all of these items lying around, so I assume every other farm does as well), you're around $5.00 (depending on your glass guys. Mine charge +/- $2/sq ft for plain old glass.) Also, it will look better and people (by "people" I mean judgy jerks like me) won't mock you for sticking a pop bottle in the roof of your coop.
You could probably also use plexiglass, but I don't know the price of that off the top of my head. I know I could do it for $5 using real glass and scrap materials I have lying around - assuming said window is 18" x 18" or so, which would also give you a lot more light that a pop bottle skylight.
If I had a $20 budget, I could make it open and add a fancy screen from hardware cloth.
Alternately, if you don't want to build your own window, you can check your local Habitat for Humanity Re-Store. They often have slightly used building materials for good prices. You can also cruise your local on-line classifieds for free windows - lots of people replace the old, less-energy-efficient windows in their houses and then give them away.