A self-sealing window with a flexible gasket that extends around the entire perimeter of closure assemblies and a method of installing such closure assemblies in a rough opening. A sealing member is attached continuously around an entire perimeter of the closure assembly to form a water impermeable seal between the sealing member and the closure assembly. The closure assembly is inserted into the rough opening. Accurate positioning of the closure assembly in the rough opening is verified. The closure assembly is secured in the rough opening. The sealing member is engaged with an exterior surface of the structure proximate the rough opening. A foam material is delivered into at least a portion of a space between perimeter edge surfaces of the closure assembly and inner surfaces of the rough opening.