Objection from neighbour to have windows facing their house

We had a old house in 30x40 site which we demolished and constructing a new house. We want to keep windows and chejja within our site which is very much inside our compound wall. These windows will be facing the neighbour's house. There were windows in these directions with our old house also. Now the neighbours have started telling that we shouldn't keep the windows and chejja's on that side. The reason being that when it rains the water sprinkles into their setback from our chejja's. Do they really have any rights to ask us not to keep windows/ventilations that too which come very much within our compound wall? Please advice Also, we have a compound wall which come within our plot towards left side of the site which is again towards the same neighbours house. They haven't constructed the compound wall in any direction and are just arguing that we need to construct the compound wall so that they have safety. Please guide on the bye-laws available on this and what is the maximum height of the compound wall that can be constructed. Please advice