How To Create Volumetric Lighting Through Window???

I would like to archive foggy/moody/volumetric lights that shine through windows like in this picture above.
I have seen a lot of artwork with this type of light and I simply do not know how to set it up in my scene.

Here is another example of what I really want to achieve

The picture below is my scene

I am trying to make the light very bright and foggy when they shine through the window but I don’t know how and where to begin.

Thank you for your time. Any suggestions would be very appreciated!