As others have pointed out (and they know much better than I do, I'm sure) your main concern should be proper ventilation. What sort of building are you planning to heat? If it's an older house with a built-in fireplace, then you're laughing. If there's no built-in fireplace, then consider installing a wood stove - decorative, great conversation piece, and functional, too. Lots of folks here in Canada install them.

If that's not an option (e.g. you live in an apartment or a condominium) then maybe you want to buy a portable wood stove, such as they used to use to heat ice-fishing huts. Unfortunately, according to Garret and Alexandra Conover, legal liability issues and lawsuits have forced virtually all the manufacturers of these items out of business. As long as it's enclosed and properly vented to the outside, it should be safe. My idea here would be to cut a piece of plywood to fit the window opening, with a circular hole cut in it to accomodate the stovepipe. But if at all possible, check with a professional to ensure you're not going to burn down the apartment block. Your local hardware/home handyman store may even have a book on how to install wood stoves, or you may be able to order one.

Some fuels are obviously worse than others. Wood fires inside a home or in a stove have been used for millennia; natural gas stoves are still in use (my sister in Toronto has one). Otoh, there's a very good reason why barbecuing is universally considered an outdoor activity; remember the Hibachi barbequeue? Many people died from CO poisoning because they made the mistake of thinking that those could be used indoors. I strongly suspect that barbequeues of any ilk are major CO producers.

Generally, CO is produced by inefficient burning. A nice, blue, nearly invisible flame on your Coleman stove will produce very little CO; a yellow flame will be producing a significant amount. The common worst case is when a pot of cold water is placed directly in the flames; the cold water kills the burning process before the fuel is completely burned, and when that happens, you get CO production. If you're boiling water, make sure the container is not in contact with the flames - either raise the pot up, move it off to the side, or use the coals for heat instead of the flames. (For this reason, I would strongly advise against using a Thermette or Kelly Kettle indoors.)