As GreyGoo said they will cut the wood away. If you are having PVC or similar frames the slight gap will accomodate the cable and they will seal around it when fitting the new window and trim. They did it with my TV aerial lead and actually made it less noticable as it was underneath the sill.
When I had new windows some years ago I asked the installers to put a short length of plastic tubing under the cill in one corner of the new windows so that I could push the telephone wire through after they had finished. Very neat and tidy. Clear plastic tubing available from Focus, B+Q etc.