Conduction is the movement of heat through a solid material. Touch a hot skillet, and you feel heat conducted from the stove through the pan. Heat flows through a window much the same way. With a less conductive material, you impede heat flow. Thermally resistant edge spacers and window frames reduce conduction, too.
Convection is another way heat moves through windows.
In a cold climate, heated indoor air rubs against the interior surface of window glass. The air cools, becomes more dense and drops toward the floor. As the stream of air drops, warm air rushes in to take its place at the glass surface. The cycle, a convective loop, is self-perpetuating. You recognize this movement as a cold draft and turn up the heat.