Make a special brush (sheet ussually) and make it a zone portal. You can just select it from the special brush default list.
Once this has been done, Make sheets covering all the doors and entrance (windows, any anything else that is a hole in the building) ways on your map. I make my sheets just a little larger then the doorway ussually.
Next, add a zone info. This is under like info or some crap. I forgey the details. If I was in UED I would remember. To add a location thing in TDM, there is a little box for location under zone info.
Basically, it's like adding water, but instead of a water zone, it's just a regular zone info thing.
You can play around with the settings, like a default zone lit and stuff.
Also, for the most part, if your map has an outside, it's ussually best to just leave it as one zone.