using a wpf window in a class library project

If you start building your class library on a green field I would suggest this:
1. Start with a new WPF Application project
2. Add your UI components as you usually do
3. In Solution Expoler right click on the project and choose Properties
4. On Application tab change Output type from Windows Application to Class Library
5. To get rid of compilation errors delete the App.xaml file from your project

After all this, when you build this particular project you will get a DLL, that can be used in other projects.

If you already have some Class Library project, than you can add references to libraries that are needed for WPF, as Pheonyx mentioned in their comment, but Visual Studio can do it by itself.
1. Right click on your Class Library project
2. Choose Add > New Item
3. In the left bar from Visual C# items select WPF > User Control (WPF)
4. To use XAML add reference to Windows.XAML assembly (Project > right click on References > Add Reference > from Assemblies add Windows.XAML )

In the project, where you want use the library:
1. Add the output DLL to References / or just reference your Library project
2. Considering that the namespace of your library is ClassLibrary1 your can use its components in XAML with this code:

<Window  
...
xmlns:lib="clr-namespace:ClassLibrary1;assembly=ClassLibrary1"
...
>
<lib:UserControl1 /> <!-- User Control from the library -->
</Window>