SL's building tools don't support Boolean or other cutting operations.
Here's how to make a wall with a window and a door opening...
Rez a box, make it the thickness of your wall, say .25m. Make it as long as from the corner to the door. Make it as high as the bottom edge of your window opening.
Shift+drag a copy of this piece upward. Place it atop the first piece. Use the sizing handles to drag it so that it ends at the edge of your window opening.
Shift+drag a copy of this piece to go between the window and the door opening. Resize its width to fit.
Shift+drag the original prim you started with to form the upper portion of the wall, enclosing your window opening.
Continue in this fashion until your door is framed also, and your wall is complete.
Shift+drag and resize a piece next to the window opening to form the window pane. Make it thinner than the wall, texture it solid black and make it about 75% transparent.
You can often save on prims by hollowing one out to form a window opening, rather than framing the opening with pieces.
You can save even more prims by using a solid wall with NO opening, and applying a texture to it with an alpha transparency where the window is supposed to be.
Sculpties are, as you've said, about the only objects that can be created in an external 3D application. In fact, what you are creating and importing is a texture, not an object...you are making a UV weight map, an RGB image that uses color values to define the X,Y, and Z coordinates of a sphere that is distorted ("sculpted"

to form the desired shape. This map is then applied to a spherical object in SL to distort it and make it appear similar to the model you created in your original 3D application.
Sculpties are great, but they have a major drawback. Their appearance is a viewer-side phenomenon. Their "real" shape is still the orginal sphere. Therefore, they must almost always be made phantom, or avatars would be bumping into unseen sculpty spheres all over the place.