The reason for this is simple—you're using a mesh. Meshes can't use curved lines; all Blender can do is approximate them with a bunch of straight segments.
If you really need it to be truly curved, you can try using Curves instead. Unfortunately, I don't think it's possible to use a curve with the Boolean modifier, however, so getting it to cut out a window would be quite difficult. I'd use a CAD editor (here's a list) if you need that.
If you don't need that, but want to change the number of segments, look in the bottom left corner of the 3D view. There's an options panel where you can tweak whatever action you did last (but if you did something since then, you'll have to undo and re-bevel it). To add more segments, you can also use the Subsurf tool – select the vertices, and hit
W and then "Subdivide Smooth".