I am receiving a windows down message even though my windows are up.

If you have received an alert it means that Tesla's API is reporting one or more window being down.

This can occur during cold weather where the vehicle slightly rolls down the windows to prevent them from freezing shut.

The data from each window can be viewed at https://www.teslafi.com/data.php by selecting the 'Edit Layout' button near the top left of the page and changing the visible data to include all four windows in the "NEW" section at the bottom.

You may also be able to verify the API is reporting a window down by using the Tesla app under controls and viewing the window button.