The MIB Building is concealed below the Brooklyn Battery Tunnel (Now Hugh L. Carey Tunnel) Ventilation building
The implication seems to be the "front" of the building (pun intended) is the ventilation bit, complete with a giant fan and vent, providing air not only to the building and tunnel but also to the vast airport-sized complex concealed below it.
Note that the fan allows the guard to remain at his post when the building is "flushed" in the second film, despite what should be a massive change in air pressure so the fan clearly serves a secondary purpose.
Originally, the building was going to look just like the ventilation
building of the Brooklyn Battery Tunnel, and guests would walk past
the giant fan & vent before taking the elevator down to HQ -- just
like in the film.