I’m not too familiar with GTA III or Urho for that matter, but this is what it looks like to me, based on some screenshots.
First of all, the buildings. The windows (at least in that game), don’t seem to be using any sort of material at all, but rather incorporates the display of the rooms as part of the building’s texture. However, if you are also looking for effects such as light reflection off of windows and having rooms look different from different angles, I would recommend making a room texture (or a few) and then modifying the texture coordinates based on the angle of the view. Then, just mix that color with the color of the “window” and top it off with some specular.
As for the cars, it seems that only the windows in the front actually modify the color. For example, if you look through the car’s cabin, the back window does have any effect on the light coming through. What this implies is that they used some sort of back face culling on the rear windows to improve performance. Along with other types of culling (buildings, distance, view, etc.), this leads to at most a hundred or so transparent objects at once, which is more manageable.
Again, this is just a guess at how they implemented these effects. I could be wrong, but I think that is how I would begin at replicating them if it was up to me.
Edit:
One last thing that is critical. (That I completely forgot to mention) LOD for your render techniques is a must. For example, you could probably approximate car windows from a certain distance away to be just a darkish-blue color. As for buildings, you could do something similar or just use a small generic texture. This is something I am fairly sure was used in GTA III.
Cheers, Don.