Strange one this. Lock the car central locks everything fine (is a 3 door Mk3 GTI) then opens one or other of the windows on its own. Did it the first time this morning on drivers' side shut it and relocked it. Went to work to get a phone call saying the thing has opened the passenger side window. Got back and the only thing 'unusual' was that the windscreen wipers were still set on - not that this should be unsual. Went through the motions turned them off and tried various combinations but would not do it again at least not while I was watching. Any ideas?

 

The central locks on my '95 Passat VR6 work in a way that if you hold the key in the unlock position after the doors have unlocked all the windows will go down. The opposite applies to holding it in the lock position, they all go up. I don't mean to imply anything, but are you sure you didn't hold the key in the lock or unlock position too long. Try it to see if this happens on your car. It may be that only one window works with that system (the others could be malfunctioning) so that could be why only one is oprating oddly. You never know.
Good Luck.