One over non-obvious thing to check is the glow plug relay. If it is shorted, it will drain the battery (and closing the windows may have just been the straw that broke the camel's back). Engine will run just fine with no battery once you get it started, but if the glow plugs stay on all the time, the alternator cannot keep the battery charged with the headlights on.

I found this out on the Volvo -- coming home from a trip at night, the cruise control dropped off, then the windows got slow, then the headlights started to dim out -- a real problem since the fuel cutoff on that car is a solenoid, and when the voltage gets low enough, the engine stops. I was driving as fast as I dared while keeping an eye out for a place to pull off since I was gonna be without lights on a country highway when I hit a bad bump and the glow plug relay "unshorted". Charged right up, ran fine all the way home. When I checked it, any time the glow plug relay was plugged in, the glowplugs ran. New relay fixed it.

Make sure the battery cables are good, too.

Peter

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1972 220D ?? miles
1988 300E 200,012
1987 300D Turbo killed 9/25/07, 275,000 miles
1985 Volvo 740 GLE Turobodiesel 218,000
1972 280 SE 4.5 165, 000 - It runs!