I had heard about this building at a genealogical society meeting (no relatives connected, unfortunately!). Its full name is St. Mary of the Annunciation, of the Roman Catholic Diocese of Chicago.
The church itself was founded in 1864, with a different building erected at a different location. This building was built in 1889, with the former church moved nearby and used briefly as a school.
Its cemetery, St. Mary Catholic Cemetery, was consecrated in 1869, and was moved with the old building to the current location. This cemetery holds the remains of many early families in the area, mainly German. The names were compiled and the graves plotted by a society member and are available on CD from the Lake County (IL) Genealogical Society (I am a member, FYI).
The original bell is usually housed in that little pavilion, on the left, but I don’t know why it’s not there.
In 2002, a larger edifice of glass and stone was built nearby to accommodate future generations.