How i can do this ?
Only one object at a time can be UV-unwrapped (except when using an add-on like Texture Atlas). When this is done, the mesh datablock for that object gets a UV Map assigned to it.
If you want to UV map that whole structure together, you can first select and join the multiple mesh objects (CtrlJ).
When you do this the mesh pieces will all become one object, and take the name of the object that was selected last. This last-select object is called the Active Object, and notice how its selection color is a little bit different from the other selected objects.
You might consider leaving the door as its own separate object, since it may move, or you can have it all as one mesh and still animate the door by rigging it. But you haven't mentioned animation so I'm getting ahead of myself. Anyway, the idea is to organize your mesh data into larger, easier to manage objects.