Good work on finding pictures of the lanterns, ZouLy!
That white building appears to be Santa Casa Da Misericordia, which I've included a picture of below. From Wikipedia:
Holy House of Mercy of Macau (Portuguese: Santa Casa da Misericórdia; Chinese: 仁慈堂大樓), is an historic white building in Macau's Senado Square. Established as a branch of the Santa Casa da Misericórdia, it was built in 1569 on the orders of the Bishop of Macao.
It was a medical clinic and several other social welfare structures in early Macau. It later served as an orphanage and refuge for widows of sailors lost at sea.
It is part of the UNESCO World Heritage Site "Historic Centre of Macau".