How do I add a new exterior door to a room?
There are lots of concerns I can think of (this is a much bigger project than simply cutting a rectangle in the wall):


Exterior walls are load bearing, so you need to construct a header, king, and jack studs, to properly transfer the load over the door. During construction of this, it's a good idea to install temporary bracing.
Any utility lines in the wall will need to be moved (electrical, plumbing, hvac, etc).
The door needs to be installed so the exterior house wrap properly overlaps it so any water that gets behind the singles doesn't come into the door.
You need a threshold and possibly some flashing to keep any water or drafts from getting under the door.
You need to properly trim around the door, particularly outside, to keep it weather tight.
It's critical that the door is level and plumb so it doesn't open or close accidentally.