If it were smaller and only intended to be a weatherproof enclosure for the top of the stairwell, you might call it a bulkhead:
Quoting dictionary.com (Random House dictionary):
b. boxlike structure, as on a roof, covering a stairwell or other opening.
I'm think the specific kind of structure you see there is somewhere between this word and penthouse, as advised in another answer, so I'm somewhat at a loss to suggest one over the other.
It might be better described by its in-context use, e.g. utility room or roof access structure.