Large Windows can be placed on walls (except the corners) to let light in during the day, and out at night if there is a light inside. Small Windows do the same, but let less light in/out. Windows comes in two sizes 1x1 and 1x2, and normal, classy and glass variants. Windows can be destroyed by prisoners, but they cannot escape though them.
The following rooms grading will increase by 1 point if the window is facing towards the outside.
Temperature and Weather
Prisoners can suffer from 'overheating', a status effect which can affect performance in reform programs. Windows can help to counteract this effect and cool your prisoners down. Rooms like kitchens generate a lot of heat. Overheating is not exclusive to the 'Weather & Temperature' option.
If the 'Weather & Temperature' option is on, your windows may let in cold air if it is cold outside. Consider installing radiators to counteract this as your prisoners will get cold and the same concept will apply, where your prisoners' ability to perform in reform programs will be negatively affected.