I've seen some window props here in the free stuff section. Is there a way to combine them with a wall prop and at the same time, a light source can still go through it? Or will the wall prevent the light from shining through the window?

If there is an actual hole in the wall where the window is, the light will still shine thru, but not if you just stick the window to a wall with no hole.

Lights don't shine through walls - as it is in real life, so it is in Poser. But in the virtual world, you can apply a transparency map to the wall, and let there be light! If you need more help, give examples of the window and wall you want to use.