Just did it this morning? Its too cold out to be driving around with window down? How can I trouble shoot this please?

When you push the switch can you hear the relay click in the door? It's probably the "up" relay if that is the only problem you are having. Send me your EMail address and I'll send you the fix...

Had to get this fixed in the wifes X5 and it was the relay as previously stated. We had it covered by the warranty, so I don't know about doing it yourself.