If it works on your car. The way to do it is to hold the Lock button down and after the doors lock the windows will start to close, also works on sunroof, if fitted.
Why is that? The remote works from a distance but for the window up/down you have to point the remote directly at the drivers door handle. That bit seems to work by Infra red.
With mine I have to point it inside the car towards the RVM, (95 c class)The door handles on mine just have the green & red lights in them.Oh by the way just an after thought if both green and red lights flash at the same time replace the batterys in the remote, if you leave it to long before replacement it wont switch the immobiliser off leaving you stranded (I Know).