Our daycare is in a basement without windows, and it's just fine. We visited another in a basement that felt dark and dungeony, but the one we ended up at is bright and cheerful even without windows. The kids do in fact go out once or twice a day, weather permitting, and if not, get a lot of exercise in the "Dance Room." Our daycare is a great place with loving and fun providers, and we're very happy there. If you're otherwise pleased with the daycare, I wouldn't make the windows a deal breaker.