XX building is outside the West Exit of Shinjuku station (外)
XX building is near the West Exit of Shinjuku station(ちかくに)
XX building is by the West Exit of Shinjuku station(側で)
To get to XX building, come out of the West Exit of Shinjuku station という表現はもっと便利かな。
例えば、to get to XX building, come out of the West Exit of Shinjuku station, cross the street, then turn left and walk for 100 meters.