I would create a sub-object material for the building. Then I would make the windows that you want to light up as a self illuminating map. This way they will light up. Here is a tutorial on After Effects that has some 3ds max help. The basic process is described in this tutorial:
http://www.videocopilot.net/tutorials/3d_ledge/
You just have to wait until he gets to the 3d Max part which is about half way through the tutorial.
Hope that this helps.