You'll need to be a little more descriptive in what your window is doing, or not doing. Lots of potential problems and even more ways to fix them. And yes, search can be your friend; it's likely someone else has had the same problem and found & posted a solution to it.

One thing I've learned with these cars and many other BMWs is that they don't like to have the door slammed shut with the window all the way down. That probably doesn't help you in your current situation, but it may help avoid another one.

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2001 X5 Sport 3.0/5-speed
1998 318ti/5-speed
1988 735i/5-speed
1984 528e/5-speed (soon to be M20B25-powered 525i!)