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Since data scarcity and data heterogeneity are prevailing for medical images, well-trained Convolutional Neural Networks (CNNs) using previous normalization methods may perform poorly when deployed to a new site. However, a reliable model for real-world clinical applications should be able to generalize well both on in-distribution (IND) and out-of-distribution (OOD) data (e.g., the new site data). In this study, we present a novel normalization technique called window normalization (WIN) to improve the model generalization on heterogeneous medical images, which is a simple yet effective alternative to existing normalization methods. Specifically, WIN perturbs the normalizing statistics with the local statistics computed on the window of features. This feature-level augmentation technique regularizes the models well and improves their OOD generalization significantly. Taking its advantage, we propose a novel self-distillation method called WIN-WIN for classification tasks. WIN-WIN is easily implemented with twice forward passes and a consistency constraint, which can be a simple extension for existing methods. Extensive experimental results on various tasks (6 tasks) and datasets (24 datasets) demonstrate the generality and effectiveness of our methods.