This is the Cassiopaean term for various odd animal-like creatures reported throughout history. The chupacabra phenomenon for example could be a case of window fallers. The Mothman of the 1970's would be one. Spring-Heeled Jack of London folklore from the 19th century would be another.
These come into human perception through an accidental breach between adjacent 'realms' or parallel universes.
Phenomena such as the mysterious disappearances of the Bermuda Triangle may capture these creatures in their world of origin and deposit them on Earth in a somewhat flukish manner. A certain conceptual similarity makes it so that they land in a world and density that is at least in part comprehensible to them. It is possible that hyperdimensional maneuvers performed by UFO's or the like may as a side effect open windows between worlds where such window fallers then inadvertently get captured. The Wave series at the Cassiopaea site discusses these phenomena in more detail.