You don't have to make two seperate objects, you can use a PNG with alpha to create the window.
eg.
Sync On : Sync Rate 0
Backdrop On : Color Backdrop 0
Make Object Cube 2, 2
Position Object 2, 0, 0, 4
Load Image "wall.png", 1, 1
Make Object Plain 1, 5, 5
Texture Object 1, 1
Set Object Transparency 1, 1
Do
Sync
Loop
Here the window is rainbox coloured, but this is only to show that the window really is transparent.
I'd suggest that you texture map your object with JPGs or similar, and map the glass areas to a PNG with alpha. PNGs can compress extremely well, but it's indexed based, so the more colours you have the bigger the file. Keeping colours to a minimum, keeps filesize to a minimum. You'll notice that the wall.png used in this example is ~77.5KB, but you could get it down to less than 17KB for the brick and frame, and then 14.5KB for the rainbox window and just 116 bytes for a plain blue window (256x256). For use in DBP you'd need to export to a format that allows multi-texturing and can be loaded with those textures by DBP eg. DBO.
