"This building has an exit and an entrance."
に doesn't always indicate a direction of movement. It can also be used to indicate time (八時に学校へ行きます) and location (アメリカに住んでいます)
In this sentence, この建物には is marking the location of "in this building" as the topic of the sentence. Think of it like the sentence 出口はこの建物にあります (The exit is in this building) but rearranged so that the building is now the topic of the sentence: In this building (この建物には), there is an exit and entrance (出口と入り口があります).
この just marks the building but not about the building. Is it occurring at the building? In the building? On the way to the building? Is the building the subject or the object?
Particles are also used to reinforce an inflection. So instead of "In this building there is an exit." This sentence is more like, "In THIS building there is an entrance and an exit."
Some things seem really odd on paper, but make a lot more sense in practice.
I just want to say, i was able to get this on my first try and I'm almost crying a bit. I have such a hard time with language and i feel like this is a wild milestone.
And a lot of that success is reading these comments that so many of you write with your free time to help people.
I have just tried the following, and it was rejected; I think I will report it as correct, but here it is in case I am mistaken and for the record anyway.
(Kono tatemono ni deguchi to iriguchi wa arimasu)
I have merely used the particles a little differently, so that the exit and entrance are the topic of the sentence rather than the building (which I think you cannot guess here without context).
It's difficult to explain. The best would be to look it up: で marks a place of happening. It's used, when you're not moving. に mostly marks a direction, but also has other meanings.
-> ここで食べます I will eat here. -> コンビニに行きます I will go to the convenience store.
In this sentence it means something else. The comment of @TellowKrinkle describes it very well.