2006 vw jetta ..last week the radio wouldnt turn off when i took the key out of the ignition, now this morning when i unlocked the door all the windows rolled down by their selves and then it died while going down the road, but started back up immediatly..check engine light is now on

Sounds like you have button to one of your door locks that is stuck, you remove door lock switches and disconnect 1 at a time to see which one it is. Over time a stuck switch will drain the battery it's sending voltage to all locks constantly, there's a switch tied to ignition switch on some models that locks door when you start the engine and unlocks doors when you shut the engine off, Chev. Suburbans have that

has the window frozen to the frame?or can you hear motor trying to work?...if so defrost window... try this.put key in door and hold over to unlock,all windows will drop.if drivers window still not working could be motor burned out.
(auto drop/raise system not fitted to all vw cars)

Get a flash light, and a normal size screwdriver. Look into the ignition switch with the flashlight, you should see a piece of white plastic blocking the entrance (supposedly a dust cover of sorts). This object is spring loaded, and if it becomes cocked, it will lock in place.
Now comes the screw driver. Work on that plastic with the least amount of effort (force) that you feel is required, until you get it back into place.

I know this is a little late, but I just encountered the same problem with a 2005.5 jetta tdi. Went to put key in ignition and encountered a white plastic tumbler(?) blocking the keyhole. Car was parked, tires were straight and steering wheel was locked. Tried moving wheel up, down, left and right and also tried applying a small amount of oil thinking something was just stuck. Did what I could and finally called VW roadside assistance. Local dealer took a look this afternoon and notified me that the ignition switch is faulty and they have to order a new one from Germany which will take 2 weeks to arrive. Plus side, the part and labor will be covered under CPO warranty, but of course, the warranty doesn't cover a rental car for the two weeks this one will be out of commission.

serious electric problem, i think is the computer module try to get code with a mechanic

Needs new drivers door lock actuator (P/N 3B1-837-015-AS)

Sounds like an antitheft problem I would start with the antitheft system. Usually when you only have one key all keys have to be programmed together even the original. When you have more than one it is easy to program additional keys.

a garage door opener in your area is most likely doing this. back you car down the drive and park close to the house or wall.

I had to take my car back to the dealership twice. First, they replaced the ignition switch. 3 days later, my car wouldn't start again. So I took it back and they called VW - VW said to replace the steering column module. I asked my dealer why they didn't replace the steering colum module first - they said that even if they had replaced that first, the old ignition switch would have shorted out the steering column module. Whatever.
$600 later my car has been fine for about 3 weeks now. If it happens again I will keep you posted.
Good luck!

Some cars allow power to the radio, etc. even after the key is turned off and taken out of the ignition. If everything turns off when the door opens, then it is most likely normal for your car. I know the newer VW Jetta's do this.