Some clarification please.
How is the building created? What do you expect to see?

If the building is created with actual openings the light will shine out. If the building is created with blocks and texture maps no light will shine out. If the building is created with transparency maps light might shine out if the correct options are set. Of course light will only show if it actually his anything unless you are using volumetric lights.

Most buildings are created as blocks with texture maps, this is light on polygons and will create the correct effect. In general light inside buildings rarely lights up anything outside of the building so to create the illusion of lighted windows and door the texture map has to be changed or an additional map with the lighted areas has to added.