The windows are missing in this picture you see just white spots where the light passes through the holes in the walls.
How can I add windows with ornaments and different colors that produce colored light beams

Assume that our windows are made by two objects: one is the glass, the other is the frame. We'll take care of the glass, now. Select your glass object, switch to the Texture room and apply the texture map you've created for the window. I will not discuss in which channels and how to apply this map. Experiment until you get the result you'looking for. Anyhow this is not going to tamper with cloured light beams. Once you're done with shading, switch back to the assemble room and UNCHECK the "Casts Shadows" box in the properties tab. Now, place a spot light on the back of the window, aim it properly and apply as a "Gel" the same texture you applied to the glass object. Still in the assemble room with your spotlight selected, go into "Effects" tab, check "Enable" for "Light Cone" effect and click the "Edit" button. Make sure you check "Use Gel" and "Enable 3D Shadows" boxes. That should be enough. Of course, you'll need to repeat the above steps for all the windows in the cathedral paying attention to the aiming of the spots (I guess keeping them parallel should work fine). Have fun.

Very cool render so far by the way. -Kix