What they mean is usually a part of the building that is separated from the rest (for example: the west wing of a building).

In architecture, an ell is a wing of a building that lies perpendicular to the length of the main portion.

She had taken him up the path, through what looked like a heavily-wooded park, past one enormous wing of a building so huge it had to be the Palace.

He was also a donor to Hofstra University, where the campus includes a wing of a building named for Mr. Kushner and his wife: Seryl and Charles Kushner Hall.

Please note, however, that the demolition and reconstruction of part of an existing building, such as the wing of a building, or the conversion of an existing building (or part) to an annexe cannot be zero-rated as the construction of an annexe.