Here's how to make it where the bullet doesn't hit the clouds:
Well first of all, I should say it's extremely simple. Say you have a room, with a window on the ceiling and a box on top of that in which all the sides are Fakebackdrops, lets call it the "sky box". Simply place a sheet between the "sky box" and room, inside the window. Make the sheet a zone portal. Go to the classes:info:zoneinfo:cloudzoneinfo. Now, when you shoot through the window, the bullet (or whatever) disappears!! Simple, eh?!
Now, to make glass, simply select the sheet brush icon, place it where you want the glass and add special. Usually want it as, non-solid, transparent and 2 sided. If you add glass, you need to add an invisible collision hull. Click the cube, place it above or below the glass, make sure it isn't touching any wall or ceiling, open up Add Special, on the drag down box select invisible collision hull and add it into the world..
Jenkins