It can be difficult to seal the new window against the sheathing so get a good experienced contractor, waterproofing consultant/contractor or design professional to assist you.

If you have brick veneer (1 brick thick, wood framing on the inside) the issue is sealing the window to the brick.
Polyurethane caulks are about the best thing going to close the gap between the brick mold and the brick.

If you have a masonry house (wall are 2 bricks thick with no interior framing in outside walls) I have yet to see a replacement window company that can deal with masonry openings without adding wooden bucks.