Very good question! The answer is somewhat simple. Because a plane is pressurized their is a tremendous force pushing out in all directions. Windows in a plane are a weakness in the fuselage. If they where made square to much force would be focused on the corners eventually causing cracks and a subsequent failure of the fuselage.
The De Havilland Comet was the first commercial jet aircraft to enter service in 1949. It was made with relatively square windows. Shortly after a series of accidents began to occur where the plane broke apart in mid flight killing all on board. After much investigating it was discovered that the crashes where caused by the failure of the fuselage around the windows. De Havilland made the windows more rounded to mitigate the problem, but its reputation was tarnished and the aircraft failed in the market due to various reasons.
An unfortunate, but important lesson learned in the history of aviation.
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Less chance of cracking due to air pressure.
A square or oblong window could crack in a corner,
so a round window has no corners.