A Window can be placed on a wall to let light in during the day, and out at night if there is a light inside.
This will NOT help lower any prisoner's Need even though some players expect or believe it does.
An outside window is a plus to the cell's Quality.
A Large Window is almost the same except it lets more light through.
Due to the Update 4, windows will now let the cold in your prison more easily. You may want to put a Radiator under it like in real life.