As far as I can imagine, this is the support for some coils (e.g. of a transformer), and the holes allows the wires to come out. In the large square hole there should come a magnetic piece or an assembly of them, hence it has to be nice finished as well.
To start with, I would cut the piece in half, e.g. using netFabb Basic, placed on the fins, as seen in StudioK’s picture, but rotated around X/Y so that the holes will be part of a single half.
Than both halves should be printed placed on the full side (as the bottom piece from the entire part). You can later on easily glue them together with acetone.
Now, for the holes, simply adjust the cooling by reducing print speed strategy in your slicer, so that the print speed in the holes area will not exceed 15 mm/s, and the holes should come fine.
L.E. It is also that you want to make sure the fins are printed with perimeters only, hence you have to adjust the extrusion width and/or number of perimeters in the shell of a slice, to print correctly the thin walls (if not did it already