1. Start with a small outdoor setting, say the "rural" tileset.
2. Paint an inn.
3. Paint two doors on the inn. Call them "InnFrontDoor" and "InnBackDoor" (note that this is the tag... that's what the computer uses as a reference).
4. Create a new area, 2x4, with the "City interior" tileset.
5. There will already be something in the middle of your new area. Paint it all black using the Terrain/Wall feature in the Paint Terrain menu. Then paint in an inn in the 2x4 space using the Terrain/Inn feature.
6. Paint in two doorways and place doors (ideally they should match the ones you painted outside, but it really doesn't matter) in the doorways.
7. Name the doors "InnInteriorFront" and "InnInteriorBack". You'll see why it's important for all doors to have different names.
8. Right click on the InnInteriorFront door. Click "Properties," then the "Area Transition" tab.
9. Click the "Setup Area Transition" button. Your target area is the one you set up outside (Area001 if you didn't change its name). Once you choose that area the options for the two outside doors should appear in the white area below.
10. Choose "InnFrontDoor" and make the transition two way.
11. Repeat the steps for the back doors.
That should give you working transitions between the inside of the inn and the outside. Sorry if any of this was already known to you; from your questions I couldn't think of any way to make it clear except for a complete walk through.
LB
Edit: PS the arrow coming out the door has nothing to do with transitions. It just shows where people appear when they use the door.