I saw there were several replies yesterday and figured someone gave a good answer. I just now read the post out of curiosity. What a bunch of crap.
Guys: When the door is opened the window should stay down slightly so that it won't hit the seal at the roof line. When the door latch closes, a micro switch is pushed that closes the window completely.
TristanL01: While holding your door open, use use the door handle as if to open the door. Does the window drop slightly and go back up when the handle is released?
If so, then you need to replace or repair the door latch mechanism inside the door.
I've repaired it on a couple cars, and its a pain because you pretty much have to pull the whole door apart to do it.
Check these threads:
Window drops when I open the door, but then goes back up
VW do latch/actuator
On one of my cars I repaired the latch with a small piece of plastic cut from the lid of a coffee can. It still works two years later. Don't try that though, just buy a new one.