I have Blender 2.49b and have this model:
When I change mode to Textured, the windows look weird:
When I go back to solid mode, it's normal, but the biggest problem is when I export the model, it looks like the image above. How can I fix this?
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The most likely cause would be the normals, that is which way the polygon is facing, the outer side is the one that has the texture drawn on it. In edit mode select all and press CtrlN. If that makes it worse try CtrlShiftN to flip them the other way.
Worst case scenario you can select individual faces and flip the normals using Mesh->Normals->Flip (Flip normals is also available in the specials menu W)
This appears to be an issue with the faces themselves rather than which mode you have selected.
I would first check to see if the faces are pointing in the wrong direction. First enable Draw Normal from the Mesh Tool Panel
If they are point the wrong direction then they can be flipped the correct direction using Ctrl + Shift + N. See the wiki docs - Face Normal for more information about flipping direction.
I would also check to see if these faces have been UV wrapped. In edit mode, select the faces in question. Open the UV Editor and if they have been uv'd then they should be visible for manipulating the UV layout. If not you will have to UV unwrap those faces.
You should also check to see if these faces have a texture associated with them. If they don't you will have to assign one.
At this stage if the format you are using allows it you can enable double sided.