Be careful not to cut all of the way through the paper. It is easier if you hold the knife almost fiat so that the tip does not angle into the paper if you are doing this right, you should be able to see an indent or crease on the other side of the page. This technique is a little tricky, but it is easy to learn. Please, practice on a blank sheet of paper before attempting it on your model. Draw a line on a piece of Paper and use this technique to try to fold the page on the line.
Windows are fairly obvious on most of the parts.
So, you will want to go ahead and cut these out. Small holes can be cut out of the parts by punching the tip of the knife through the paper as you work your way around the circle. Parts that require a lot of strength, such as wheels, can be glued to an ordinary file folder first and then can be cut out. Leave a little bit of the paper outside of the part when gluing it to the folder because you will need the lines to go by when you cut the part off the folder. Before you even consider gluing a part together, all of fold lines should be creased and the part should be completely cut out from the page.