Difference between applying a window to a whole signal and frames. I'm going to do feature extraction using a speech signal. 

The first step is the windowing of the signal using Hamming window. 

I'd like to know if I should apply one single window to the whole signal or if I should apply several windows to different frames of the signal?

What are the differences between them? 

Thank you.
Each frame to be FFT’d needs to be individually windowed to avoid rectangular window artifacts (sometimes called “leakage”) due to the finite length of the FFT.

The frame length you choose depends on the time-frequency resolution trade-off needed to extract the features in which you are interested.