How to

Depends on a lot of things.  Do windows go in from inside or outside. If they go in from outside you can wait till after filling and painting.  If the windows insert from inside, you need to mask- exept if windows are small enough- say 1/8 inch or so in max dimension you can leave them out until after painting, and then use a liquid window material to make them.  The stuff is like a thinned white glue.  Micro Scale and Testors are two brands of the stuff.  While white when applied, it dries clear.

Afraid you are going to have to paint it all again, thats why most people paint after assembly. As for the windos, Don says,it depends. But if you use the glue method over paint, you will lose the light effect of the LED's.

So because I have already glued the windows in i have no other choice other than mask all the tiny windows. That's going to take some time 

Indeed, unless there is some way you can remove them. Though i am curious about painting a model with lights in. If you remove the windows, won't the paint then get on the lights.