The diesel engine is shut down by a vacuum actuator, controlled by the ignition switch. The door locks are also vacuum operated. They essentially have two sets of plumbing- a "lock" circuit and an "unlock" circuit. You apparently have a leak(s) in the unlock circuit. The most common cause is torn rubber components in the actuators for the doors, trunk and fuel filler door. If you look under ther front floor mats, you will find a number of vacuum lines. The yellow lines with the green stripe are the "unlock" lines. You can disconnect and plug the unlock lines in order to isolate the problem.
Windows sometimes just get stuck. Try pushing down on both sides of the glass while a helper operates the switch. Dirty switches are another common cause of window problems. Also, there is a lockout switch for the rear windows on the center console, which disables the switches on the rear doors.