Probably depends a bit on how the frame you have is constructed. If it is door+frame+stud+window, you can replace just the door+frame; otherwise, you might need to replace the whole set. There are door frames with windows beside available for purchase.
Do you mean it's that kind of sidoljus? One might want to replace it when it's time to replace the door so that it matches the door? Additionally, it surely has better insulation value than the old window.
I removed my side window when the door was replaced. It got darker in the hallway, but I'm building a porch outside, and there wasn't room for the side window, I thought. For us, it wouldn't have been a problem to keep the old side window, but even if it looks okay, I would replace it since it's easier when you're already replacing the door.
Some pictures from my door replacement can be found here:
http://www.p-plats.se/huset
Some pictures from my door replacement can be found here:
http://www.p-plats.se/huset