I would say: treat your room/house to a nice removable roof and have your lamps (roughly) point at the windows. That way, light CAN only come in through the windows. You would have to take the roof on and off during animating, though.
Another possibility would be to "send your lamp to jail", meaning the lamp would sit in a cage with only one opening. This shouldn't be LEGO but you'd get quite far with cardboard, I'd say. Put a cardboard box (with a hole in it) over your lamp and light can only emenate through that hole.
What you can also experiment with is building the walls of your room/house (especially the back one where the windows are located) extremely high up so that light is prevented from reaching the interior of your house/room from the top or from the sides -> light can only come through the windows.
I hope this helps and is some inspiration for you.
-pacific