You can do this only through programming. A dealer will not do this for you, so you need to find someone with a GT1 computer. I think that RPM may have one now. If not, go see Sam at Cross Avenue Auto in Oakville. Thats where I had my M3 done.
Without programming, if you want to close all the windows, stick your key and turn and hold it. If you have comfort access, you need to touch the door handle and keep touching it until all the windows close.