Translation:Yes, I am going out of the store, but not of the building.
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". :)