Why do we have to have windows?

Joshua has become afraid of the thunderstorms. Yesterday, the thunderstorm woke him up from his nap after 1 hr and he couldn't go back to sleep. Today, he couldn't nap at all. He sat at the opposite end of the dining room table yesterday with his back to the window so he didn't have to watch the storm and lightning. He asked us, "Why do we have to have windows?"