Revealing mistake: The jailed criminals take the key and open the jail cell door. The problem is the dead bolt never moves with the key, showing the door was never locked to begin with.
Revealing mistake: Before Barney jumps out from behind the crate to surprise the two cops in the alley you can hear the director yell out "Don".
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.