The first place to look is in this example that is provided in the THREE.js zip.
examples/webgl_geometry_shapes.html
The next bits are for example purposes.
The key points are that you create a series of Vector2 (lines 144-165 in the file I've mentioned) that define the corners of the building.
var californiaPts = [];
californiaPts.push( new THREE.Vector2 ( 610, 320 ) );
californiaPts.push( new THREE.Vector2 ( 450, 300 ) );
californiaPts.push( new THREE.Vector2 ( 392, 392 ) );
californiaPts.push( new THREE.Vector2 ( 266, 438 ) );
The next step is to convert those lines to a THREE.Shape (line 167)
var californiaShape = new THREE.Shape( californiaPts );
Then you want to extrude the shape.
var extrudeSettings = { amount: 20 }; // bevelSegments: 2, steps: 2 , bevelSegments: 5, bevelSize: 8, bevelThickness:5
var geometry = californiaShape.extrude(extrudeSettings);
At this point you'd have an extrusion of the shape that is a geometry object so it can be turned into a mesh and you can apply a material to it.