"Don't window a transient signal" I'm a SP student and still a beginner in the field. 

When we were learning about window functions, my professor said "you're gonna almost always want to window your data but don't window a transient signal." It's a (semi-)online course with lecture videos so I couldn't ask for an explanation.

Can anyone explain what a transient is and why we wouldn't window it?
To build on Laurent's answer, here is an example.  Top frame shows an example transient signal: a damped sine wave.  As the signal decays very quickly, the first 0.1s of the signal is the most interesting.  Second frame shows hann window.  Hann window is almost zero over that first 0.1s.  Third frame shows what happens when you apply hann window to the signal, the most interesting part of it is completely thrown away.