if you unlock the car manualy and keep the key turned at unlocking position your window will wind down....
and when you lock the car the window will go back up....
what i can see happening is that the output time thing on the alarm is either too long or its stuck in the unlocking position....... this is why your window comes down.....
does it go all the way down or just abit.......
some alarms can be ajusted.......
this is the problem with modern cars when the electronics start to play up its hard to find the cause!
i dont know what alarm you have so what i would to is to find an alarm center or some auto electrican to find out whats happening........ your local dealer may be more help to you..........