Which method to use?
Hi Barry, after doing two windows and the roof vent, I would without hesitation recommend applying to the frame first. It is maybe a little more tricky holding and placing the window, but it prevents "missing" the spot on the window frame where you want your best seal.
My front window frame was rotten, after I got the window out I knew why, when they applied the original putty tape at the factory, when they applied it they didn't get it out to the outside edges of the frame. The tape was so close to the inside of the frame, it missed the fiberglass completely, and left some of the wooden frame exposed to 32 years of water.
Make sure to get the tape out to the edge of the frame so you get a good seal to the fiberglass to keep the water away from the wood.