If the window do not open, you may have to break one out with a chair or drawer. If heat and flames are rising outside the window form a lower floor, don't breathe smoke-laden air. Finally, if your room becomes untenable, you may be forced to make for the best exit. But remember to keep low. Remember that few people are burned to death in fires.
Most people die from smoke, poisonous gases and panic.
Panic is usually the result of not knowing what to do. If you have an escape plan and adapt it to the emergency, you can greatly increase your chances of survival. You may need it to guide yourself through smoke or darkness.