Hmmm... I know that when I did something like this, it seemed best if all the objects in the window group are actually positive. Then the window group as a whole is set to negative. Then grouped again with a positive wall. It's funny what you can do with successive layers of grouping too. Boolean grouping heiarchy has to be thought out. Not to mention that sometimes if something doesn't work, you have to look for that layer of grouping that wasn't set positive etc. Also note the solid thing on the mesh smoothing (the little edit box on imported meshes.) If you're boolean operation involves imported meshes you'll either end up with a hollow mesh or a cookie cutter (as in your case) if it's not set to solid.

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Barbequed Pixels?

Your friendly neighborhood Wings3D nut.
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There might be something worth downloading.