My faithful 2005 4x4 (160,000 miles) is now driven by my wife, who works shifts, and told me the other day that the windows don't wind down until the car has warmed up. I've just tried it, and she's right (never doubted her, really).

Any ideas about what may be causing this?

Could be flatish battery...ECU keeping battery power for more important stuff....if the battery is more than 6years old replace it...also is the battery charging ok...alternator belt tight???

Worth checking your car with VAG-COM for convenience module faults. You can get the shareware version and cable off ebay for around a tenner which will give you fault codes and a starting point. You can also reset codes with it and do limited diagnostics without having to register it. Best £10 I ever spent given my recent electrical gremlins.