Oh my, a doozie of a question. You are a noob!

First off,

Second, the radio will work without the key in the ignition if you press the volume button. It will turn off after a period of time to save the battery. As I recall, the windows will still work after you take the key out so long as you don't open the driver's door and it's within a short window, pardon the pun, of time.

Third,

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