It sounds like you have a problem with one of the ground wires in the system... Check the connections you have made for your alarm; there is probably something wrong with that (I would say...).
Start with a check of the alarm-wire connected to the door-contact and the other ground wires of the alarm (if they are connected to an existing MB ground wire instead of a grounding point).
The inside door lights(the lights when you open the door)and the vanity mirror lights are (usual) plugged into the front courtesy light; check power and ground there.
Does it matter whether your ignition is turned on or off and do the power windows function when that light is shut off (I had something similar with my C250D and had a short in the electrical mirror adjusting)?
with a minor 600+k