Why does this happend with Shell?
OK here is the issue in your case. When you cut into the wall for your window, Max automatically assigned a different Smoothing group (SG = 2) to the middle 2 polygons (the ones above and below the window compared to the wall polygons on either side (SG=3). After all, max doesn't know what you have in mind for your model, so since you started changing the geometry it assigned a different smoothing group to the changed geometry. So another simple fix is to just deselect smoothing group 2 for the middle 2 polygons and then select smoothing group 3 for them. This tells max to keep the surface smooth across all 4 of these polygons.
I notice that you are using a student version of max, so I recommend that you take this opportunity to learn a bit more about smoothing groups as it is a very powerful tool for controlling the look of your models. There are some very good tutorials by Arrimus 3D here:
The last point I will make is that the original modeling tutorial you were following may not have shown all of the steps. Sometimes online videos are edited and steps are inadvertently omitted. So don't be put off by the fact that the author of the original video you were following didn't seem to have a smoothing group issue. The important point is that you now know how to control this.
Hope this helps.
