Cement board isn't affected by moisture, but it is not a waterproof surface...it will absorb and transmit moisture.
I think you'll have big issues with an opening wood window in a shower area. You won't be able to seal the wood to glass junction well, either. I'd bite the bullet and replace that window with a vinal one, then you'd have a chance.
At a minimum, I'd use something like RedGard on the windowsill and any areas you can't epoxy that is going to be tiled. You can't paint over this, but can put cbu on then tile. You might want to do the Redgard after installation of the CBU. I'd ask questions like this over at www.johnbridge.com. The hassle is, any moisture that hit the window might flow down it, and you don't want it to get underneath the waterproofing layer. It will be very tough to do well. That's why it would be better to replace the window with one that won't be affected by moisture at all. They specialize in tile and stonework there...you'll get some people that can give you expert opinions from long-term experience.