I wanted to give the link option a try. I made a window and made two indexes - one for the window pain and one for the frame and sash. I added my two materials and rendered to make sure all was well - looks good. 
Next I created a new .blend file and chose the link option, navigated to my window .blend file and selected my window object. My window came in and I did a “ctl alt p” to make it a proxy object. I was under the assumption that the materials I applied would carry over but they don’t. Well, I take that back the glass mat’l seems to apply but the other mat’l doesn’t.
Anyone know what’s going on?:eyebrowlift2:
Thanks.
Edit:
I made a default scene with a box, gave it a couple of indexs, made some mat’ls and linked this into a new file. Worked fine. Must be something going on with my window .blend object.
Edit:
I think I resolved the issue. I saved a backup copy and went back to it. 
Before I linked the problematic window object I joined them “ctl P” which seems to have done something to that object. This time I left it alone and linked the individual objects from the backup into a new .blend file and the mat’ls linked fine.
Now the question I have is "Why did joining the separate objects into a new one cause the window to mess up when linked?