Are you sure you had a door on the inside and activated it to teleport to a specific outside location? I've nearly forgotten to do that a few times myself...
I also recommend DragonSong's tutorial (ixthcrusade's 2nd link). It's entertaining to boot.
I just finished a funky little shack so I'll put up a few other nuggets of wisdom:
- The v button zoom (I think mouse movement and v) is your friend when putting rooms together or studying objects in detail. I've all but driven myself up a wall when trying to connect two rooms together and began to place things, not realizing that, when looked at a certain angle, the edges didn't quite meet up.
- The angle button is also your friend. I made a dungeon, and being me, I make it at a weird angle, which threw off the snap-to-grid functions and made me spend long, long hours fitting rooms evenly.