"A windowless building with a blue door" is an in-game Options panel. From there, you can do several administrative actions with your account and access some game features:

There is a small windowless building with a blue door in Hawklor, Trithik and Talinus. While they are technically separate locations (so in some rare ocasions, like April Fools 2010 Event, might have some special behavior), they all allow to access the same services and features.

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