Project Windows
 

My idea is to have windows flying, these would be different videos, and have a major background. I've seen this before, possibly a movie channel commerical.

Questions; When you have a major background, and smaller windows, is the depth created by lighting, a shadow, or a combination. I know I'm asking for a lot of time consuming work with vegas to get this, but I was considering using this idea for a show demo.

Usually shadows are used to create depth when compositing in this way. Z-axis moves help.

I think you're best working in a 3D environment to do light passes, though Vegas has some interesting lighting efx such as Light Rays that are also worth looking at.