Revealing mistake: During the holdup at the bank, while the bank robber's holding Asa's broken gun, when Andy motions to Asa to duck out of the way in the closeup we can see the two thin wires to the left and right pulling the gun apart.
Visible crew/equipment: When Barney walks into the bank dressed as a woman, we can see the two curved chalk actor's marks on the floor behind the teller.
Answer: Those "boxes" are valences that used to be very common, before air conditioning. They allow for windows to be open during rain storms. They permit air circulation, without letting the rain in.