They aren't seperate objects in the Construction Set, but they are in the construction of that piece of the Cathedral with NifSkope. These can be separated easily enough by just removing the other components until all you have is the stained glass.
If you're new to NifSkope, or haven't ever heard of it, then I'd be happy to help. It shouldn't take long.
However, you might want to learn to become better at NifSkope if you want to do this sort of thing more often in the future (and you can strip away surprising things from other full objects!). It may take a while to become well versed with, but it's essential for making new material for mods. Check out these two pages: http://cs.elderscrolls.com/constwiki/index.php/NifSkope_Comprehensive_Guide; http://cs.elderscrolls.com/constwiki/index.php/NifSkope_Editing. The intermediate guide is somewhat harder to use though, and it's not a great wiki article in any case. You might want to browse any of http://cs.elderscrolls.com/constwiki/index.php/Special:Search?search=NifSkope&fulltext=Search pages if you want to learn more.
Good luck, and feel free to ask for more help! I don't think I've explained exactly what you need to do, but only the outline of how you might be able to do it.