That rather depends on exactly what you have.
If the objects are real instances, then select one of them, Edit (menu) > Select Instances. Alternatively there is a Material Editor option to "Propagate to Instances" which will do it for you, but they must be Instances or References, not copies.
If the objects are not instances, but are named sequentially in some way eg. WindowFrame001, WindowFrame002 etc then you can select them by using a Scene Explorer.
If neither of the above then you're probably going to have to select them one at a time. As this is a rather tedious process I would suggest you either make a Selection Set once you've selected them, or move them onto a Layer of their own, both of which allow you to easily select them all again if necessary. You can then use the Apply Material to Selection in the Material Editor.
Max 2016 (SP1/EXT1)
Win7Pro x64 (SP1). i5-3570K @ 4.4GHz, 8Gb Ram, DX11.
nVidia GTX760 (2GB) (Driver 430.86).