Revealing mistake: The woman in the foreground, as the siren is stuck, is carrying a paper grocery sack from "Hollywood Ranch Market" which was located on Vine St and Fountain Ave in Hollywood, Los Angeles. (00:09:35)
Revealing mistake: When Barney pulls the jail cell window out of the exterior brick wall, as it's being yanked out we can see that the brick wall is only thin drywall during the stunt, as well as the fact that the wall around the breakage differs significantly between the closeup and wide shots.
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.