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You're almost there, but there's an important idea that you're missing. The whole point of the Pen Tool is to create perfectly smooth curves between your anchor points by manipulating the adjustment handles contained within each of the anchor points. What you have done instead is to simulate a curve by using perhaps 50 anchor points spaced very close together around the window. But yours is an imperfect curve because the Pen Tool connects each of your anchor points with a straight line. Instead, the trick is to use as few anchor points as possible and to then drag and manipulate the adjustment handles to create smooth curves between the anchor points.

If you look at my image below, I have created a path around one of your airplane windows using only 4 anchor points (labeled 1-4) and then manipulating the adjustment handles to create a smoothly flowing curve between the four anchor points. (I first tried using only three anchor points but couldn't quite get it right.) This is the part that you need to practice and re-visit in the tutorials.  You can see one of the adjustment handles extending upward from my #2 anchor point below. By manipulating the length and angle of that handle you can adjust the shape of the curve in and out of that anchor point.

Here's how to get the marching ants: Once you have created a path using the Pen Tool, go into the Paths palette (see upward-pointing red arrow in my attachment) and save it with a name so that you don't accidentally over-write it. (I named my path "window", which you can see below.) To create a marching-ants selection from the saved path, click on the path to activate it and then click the Selection icon (see the other red arrow in my attachment).

The Pen Tool is most definitely very confusing at first, but if you keep at it you'll find that it's invaluable.

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