Translation:Yes, I am going out of the store, but not of the building.
One of the meanings of kimegy is to leave, so in English we should be able to say, I leave the store and not the building.
Not incorrect per se, but I think they prefer more literal translations: ki-megy - out-go.
I see that here 'nem' is at the end of the sentence with nothing after it. Does it therefore literally mean 'no' here rather than 'not'?
Nem is part of the second clause in this two-clause sentence. Like in the English translation, it refers to the verb from the first clause which usually doesn't get copied in the second clause, but you can do it anyway:
Igen, kimegyek az üzletből, de at épületből nem (megyek ki). - Yes, I go out of the shop, but (I do) not (go) out of the building.
So it's actually a "not". :)