@toyotahideaki
The 2 possibilities I can think of are:
1. The model of 2 windows you have downloaded is a single mesh object (Editable Poly or Editable Mesh) and therefore all of it is highlighted when you select it as usual. To remove the left window, you can go into Editable poly rollout, Polygon or Element sub-object mode and select the window you want to remove and then delete it or detach it (if you want to keep it as a separate object).

2. You actually have not completely ungrouped the windows model. To check to see if this is the case look at the Group menu and if the options to Ungroup, Open, Open recursively are available and not greyed out, then you need to further ungroup.

If you are still having trouble post a screenshot of the model with the modifier stack visible.