Window Rock is just west of the New Mexico state line and is more easily reached by road from New Mexico than from Arizona. NM SR 264 leads from Gallup on Interstate highway 40 (following historic Route 66) to the town. The southwestern approach to the town is via US highway 191 from I-40.
It's a small town; just walk, bike or drive.
See the Navajo Nation article for a discussion of Navajo rugs and other distinctive arts and crafts of the region. '''Navajo Arts and Crafts Enterprises''' is headquartered in Window Rock (SR 264 just east of the center of town) and may be worth a visit, not so much for buying goods as for learning about other places in the region for buying them.
Try out the local frybread stands, most near the downtown fleamarket.
Alcoholic beverages are prohibited within Navajo Nation. If you simply must have a beer, Gallup, New Mexico is only a few miles away, but bar-hopping there may expose you to some hostility, owing to problems with alcoholism in Navajo Nation.
Lodging is limited, but try the '''Quality Inn Navajo Nation Capital''', 48 W. Highway 264, 928-871-4108, and report on it here.