The picture was filmed entirely in-studio (except for the opening credits). The clouds that you see out the window are made out of fiberglass. For the effect of a police siren coming towards the apartment building at the end, Alfred Hitchcock had an ambulance come at full speed, from several blocks away, straight to the Warner Brothers studio, siren blaring all the way. The sounds were picked up by a microphone suspended from the studio gate.
(Source: filmtrivia, via kim-asterisk)