Garage Conversion and HVAC
Converting a garage to a living space means applying all the features that you'd normally expect in a living space:


Remove the rollup door and frame in the opening (or frame a new wall with an offset to create an externally-accessible storage space, as Ed Beal suggests). Install an insulated service door or window if desired.
Insulate the walls and ceiling and apply vapor barrier. 
Run supply and return ductwork from the new HVAC system. 
Consider framing a floating, insulated floor over the slab


I think that you knew this was the answer but were looking for shortcuts. You've eliminated the shortcuts in your question by saying that window units don't do the job. I'm not surprised, and I'd be wary of the energy bills even if that was a workable solution.