Robin,

Pick a shady spot where the AC can do it's business.
Cut a hole of the appropriate size ( maybe 1/8" larger than the AC unit).
Nail up 2X4s to frame the hole and attach to the studs. Don't caulk, use
sticky backed foam tape on the inside. This tape will need to be replaced
every 4-5 yrs. On the outside paint the siding to protect it from water and
surround the opening with molding to make it look snazzy.

Dave M.