One of the most common solutions adopted to reduce vibrations of skyscrapers due to wind or earthquake action is to add external damping devices to these structures, such as a TMD (Tuned Mass Damper) or TLCD (Tuned Liquid Column Damper). It is well known that a TLCD device introduces on the structure a nonlinear damping force whose effect decreases when the amplitude of its motion increases. The main objective of this paper is to describe a Hardware-in-the-Loop test able to validate the effectiveness of the TLCD by simulating the real behavior of a tower subjected to the combined action of wind and a TLCD, considering also the nonlinear effects associated with the damping device behavior. Within this test procedure a scaled TLCD physical model represents the hardware component while the building dynamics are reproduced using a numerical model based on a modal approach. Thanks to the Politecnico di Milano wind tunnel, wind forces acting on the building were calculated from the pressure distributions measured on a scale model. In addition, in the first part of the paper, a new method for evaluating the dissipating characteristics of a TLCD based on an energy approach is presented. This new methodology allows direct linking of the TLCD to be directly linked to the increased damping acting on the structure, facilitating the preliminary design of these devices.