Basically you just need to install the trim first. Make sure it sticks out far enough that it will protrude past the J-Channel that must wrap it. The easiest method will be to 'picture frame' the window which means none of the corners will stick out past the sides. The best method would be to miter the corners. Then wrap it with J and side away!

I would suggest you stain or paint the wood prior to installing it, but definately before you do the siding.

Thanks for the post!