I had a '96 E36 316 without the alarm install or connector installed and my windows went up. I believe its something that is on all BMWs. I'm not 100% certain about this, but i think its suggesting something up with your ZKE module?
As above, make sure you check all fuses. Get a multimeter and run the probes between the contact points on top of the fuses if they're not the "wire visible from top" type.