We cannot use “the” because it is the first time we learn of the existence of a window in the room. Phrases like “it has” or “there is” announce the existence of something for the first time, so we don’t use “the”. On the other hand we could say “The room’s small window has bars” — in this case, the phrase “has bars” assumes the existence of a / the window — it implies an unspoken (but understood) prior sentence like “There is a small window.” So in this (explicit) sentence, it’s the bars that are being mentioned for the first time, not the window. Likewise, we could say “a bird flew in through the (or "a", it doesn't make much difference) small barred window” — here, the existence of the window is presupposed, as the bird could not otherwise fly through it.

Oh, grammar can be such fun! It keeps us busy on dark winter nights. ;) You could see this window issue this way: The writer is telling us in the story that there is a window (Not all rooms have windows, this one does). This fact is not already known to the listener, reader, or maybe even to the speaker or writer. So he informs us that there is a window. When the presence of a window is known to the listener, reader, etc. then we use the definite article. We no longer talk about a window, because we already know there is one. So it is the window. When you are looking out of the window, it is already clear that there is a window in the room to look out from. So now that becomes the window. When you look outside, what do you see? Something we didn't know of before: a green car. I hope this helps a little.

I recommend English Grammar in Use by Murphy (see units 72 and 73 of the 5th edition for definite and indefinite articles) or Practical English Usage by Swan (sections 61-70 of the 3rd edition for definite and indefinite articles). These grammar books have evolved over decades to become excellent, well-known books.