What are these things on the window frames

Looking at the pictures I would say leave the steel and clean it up. The steel may be a lot tougher to remove then it looks. Might have pins into the wall or be hooked into rebar. It also looks like the steel was there when they poured the wall, making it real tough to remove. IMHO it might prove easier to cover the stuff with then remove it.

The third picture tells the story. Working from the outside, disengage the knife latches on the right side (the picture shows one near the top but there are usually two), then slide the screen to the left to clear the the frame from the right-side channel. Then pull down, out of the upper channel. The frames are aluminum and sometimes get stuck due to oxidation, so spraying the channels liberally with WD-40 or similar penetrant may ease removal. Be careful not to bend the frame, but be prepared to replace the unit. A good mom-and-pop local hardware store should be able to custom fabricate a replacement. They make plastic clips that snap over the frame that will serve the same function as the knife latches, as not all shops know how to install them.