What you have to do is either create a mass element at the slope you want and use the convert face to wall tool. Or use the in place family tool and select the Model In Place tool and pick wall.
Now placing a door or window in this sloped wall can be challenging... unfortunately when you place a "normal" door and window it will be vertical and cut a vertical opening in your sloped wall.
What you'll have to do here is create a new window family that is based by Face.
I'll post more about this with screen shots at a latter date to explain better.