PSD of a windowed signal
Windowing is multiplication in the time domain which corresponds to convolution in the frequency domain, so the spectrum  of the windowed signal is the spectrum of the original signal convolved with the spectrum of the window. The PSD is simply the magnitude squared of the spectrum of the windowed signal, i.e.
$$P(\omega)=\left \| X(\omega)\ast W(\omega)  \right \|^{^{2}}$$
where $\ast$ is the convolution operator.
Hence the desire to have the spectrum of the window look like an impulse as that has the least impact on the PSD.