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Example: 4 leman russ battletanks 2x battlecannon + heavybolters 2x vanquiser battle cannons + lascannon move in to shoot at a unit that is inside a building and there transport (rhinos) are outside the building.
How do i attack that squad,

Do i roll every weapon at the unit in the building and needing 6 to hit, and wath save do they have

or do my vanquiser cannons and lascannons shoort at the 3 rhinos and the battlecannons and the heavy bolters at the unit. So the rhinos have there modified save of a 4+ and the unit has 4+ coversave

or do i shoot alweapons at the rhinos. And rhinos would die first and then he has to make coversaves for the unit in the building.

a detachment is one unit, its transport detachment is another unit. assuming your tanks are a single unit you have basically two choices

1. fire all weapons at the tanks or all weapons at the infantry

2. fire your secondary weapons (heavy bolters) at the infantry and the primary weapons at the rhinos (you could do this the other way around but the HB cannot hurt the rhinos)

the infantry in the building get whatever to hit modifier the building provides and can then use either their own save or the cover save if its better

what you can't do is fire everything at both the rhinos and the infantry and then sort out the hits

tl;dr, infantry and transports are separate units

Your right i forgot that they are two seperate units