Accurate measurement of thermal transmittance (U-value) is crucial for evaluating the energy performance of windows, particularly in the context of energy retrofitting and the conservation of historic buildings. However, on-site measurements face significant challenges due to a lack of comprehensive testing methods for windows, insufficient information about window characteristics required for calculations, and uncertainties associated with the wall-to-window connection. To address these issues, this study introduces an innovative and portable prototype, the “Window U-Value Measuring Box” (WUM-box) based on the “guarded hot box” principle (EN ISO 8990) designed for on-site application. A first prototype was developed and optimized through thermal simulations in dynamic conditions. The performance of the measuring box was assessed through laboratory tests conducted in a controlled environment on an EPS-glass-EPS specimen with known material properties. These tests allowed for direct comparisons with results obtained using also a calculation based on the EN 6946 standard. While the results revealed measurable uncertainties associated with this type of measurement, they also offered valuable insights into their source, highlighting critical aspects to be addressed in both the physical setup and the data analysis. Currently, the WUM-box is to be considered a research tool; nevertheless, it represents a significant advancement in non-destructive thermal measurement. The tests carried out exploiting the developed prototype lay the groundwork for the development of a more advanced version that will aim to overcome the identified existing limitations. This development takes place within the framework of the CALECHE project (HORIZON).