I normally keep my windows covered up so i wouldn't have to see anything. But if this did happen i probably would get terrified, look away to just look back to see if its still there as i grab my machate just in case.
And the alien would have his ray gun on you and say, "ah ah ah, drop it or sizzle like bacon. And this being a Napazoid A5, the most powerful ray gun on your planet, you gotta ask yourself, do you feel lucky, punk!?
The concept of seeing an alien is something I imagine being both amazing yet terrifying - sorta like being within just metres of an approaching tornado, or swimming in a tank of sharks I think my natural instincts would get the better of me though and find the sight absolutely terrifying, I'd run out of the room
Depend son the look of the alien too I guess, if it was one of those stupid-looking Star Trek like ones I wouldn't be as scared. Though the traditional "grey" alien is pretty damn freaky and much more realistic as an alien concept.