Michael,
You make me remember the Chicago of my youth. The address would have been West Lake or East Lake. I tend think it was East as that would have been a tad closer to Marshall Field and other retailers. The double hung windows in that photo are long gone. Indeed that building is no longer there.
Just outside the window was the Chicago El or elevated train system. They would have been rumbling past every 5 to 10 minutes shaking everything with a deafening roar. Not the best work location.
During the 1890's and early 1900's there were a number of shooting clubs in the far western suburbs of the day like Glen Ellyn. They were primarily "Creedmoor Clubs". I have seen a few pictures of the very fine rifles they would shoot with their families looking on. There was also a trap shooting club about 3 miles north on Lake Michigan.
Pete