Sounds to me like you have an early 2005 with the global windows option.
If you put the key in the on position, without turning the car on (or turn the engine off but leave it in on) for 2 seconds, it'll roll the windows down. If you turn the key all the way backwards and leave it for 2 seconds, it'll roll them up.
If you go through the menu in options, you can turn on accessory delay and it should stop it. If not, you'll need to have your car's ecu reprogrammed, as global windows caused problems for lots of people.