No. you can have about 2000 ish entities, so a couple windows is nothing.
"Sky Box" is a relative term, what I'd call a sky box, would be an 'outside' area of the map, where the "roof" is normal brushes, all lining up with the outer edges of that area, and textured with 'sky'.
Some people see a sky box as a big empty box that their map is inside.
Here is a tip: HalfLife will render everything unless you have made the effort to stop it doing so, so you have to make maps that are pretty much like teh old Quake maps, 'rooms linked by corridors'
You can have larger maps in HL, and also the term room and corridor are deceptive, you can have some artistic license, but you can't have a large map enclosed by one box. The compile tools (are you using Batch Compiler with teh zhlt tools?) get rid of all the outsideunseen faces during teh compile, so if you have a big box, the tools will render all teh faces, this means huge lag, and bad compile times. Large boxes also affect VIS, the blocking part of teh compile. It now has to calculate all teh way aroud teh outside of the map too.
So that's why the 2nd definition of Sky Box is a bad one, and shldn't be used.. ever. imo.
Tutorial:
http://countermap.counter-strike.net/Tutorials/tutorial.php?id=16(Check out Countermap for all your begginner problems, and great tutorials on lighting and windows etc)