Over the millennia, Jews have turned towards the holy city of Jerusalem when praying. The Talmud in Berachot 34b derives this rule from how Daniel would pray in Babylon:
"One should pray in a house which has windows, as it says (Daniel 6:11), 'And Daniel would enter his house, where there were open windows in his upper chamber facing Jerusalem; and three times a day he would kneel and pray.'"
Why are windows needed for prayer? Isn't prayer a private exercise of the soul, where one concentrates inwards? And why did Daniel have his windows facing Jerusalem? 
The room in which we pray should have windows, thus indicating our ties and moral obligations to the greater world.
Engaged Prayer
Prayer is an intensely introspective activity, but it should not lead us to belittle the value of being part of the world around us. If meditation and private prayer lead us to break our ties with the outside world, then we have missed the highest goal of prayer. The full import of prayer cannot be properly realized by those secluded in a monastery, cut off from the world.
Prayer should inspire us to take action for just and worthy causes. For this reason, the sages taught that the room in which we pray should have windows, thus indicating our ties and moral obligations to the greater world.
As we affirm our connection to the world, it is important that we turn towards the city of Jerusalem. Our aspirations for perfecting the world should be channeled through the goal of universal peace. This is the significance of directing our prayers towards Jerusalem, whose name means "the city of peace".
Jerusalem is the focal point from which God's prophetic message emanates to the world - "For the Torah shall come forth from Zion, and God's word from Jerusalem." (Isaiah 2:3)
[Adapted from Ein Ayah vol. I, p. 168]