I've been putting up Christmas lights since I was a kid. Taping Christmas lights up into a cold window is a huge pain in the butt. For so long I wished there was a simpler way. One year I found some sticky clips at Walmart. They were only so so at staying up and then they stuck out so far, that I had to take them all down to be able to open and close the windows. Finally, 3M made command light clips. They are awesome. Just follow the directions (that is important if you want it to work right). Wipe the surface you're attaching them to with rubbing alcohol. Let it dry and then press the thing on for as long as it says to (like 30 sec I think). Then just leave it for the amount of time it says (I think it's min 2hrs) before using them. I put these guys up in the windows two years ago and just left them. They're clear, so they're not very noticeable and they're small enough that I can still open and close the windows without any problems. This is now the third season I'm using them. It's made putting up the lights in the windows super fast. Only one or two of them have come down (in two years!) and had to be replaced. I don't know that they're meant to stay up so long, but the ones that came down didn't have any problem. We have vinyl windows as well, so I don't know how well it does on wood or metal.
The other thing that helps is having a pattern to follow. For my windows one set of 100 does the trick. I start in the bottom right corner, go straight up to the top, across the top, down half way, back to the right across the top of the sash, back to the left along the bottom of the sash, down the bottom half of the left side, and then back across the bottom to where I started.