Not sure about the windows, but they are controlled by something, I think it's the PCM? Whatever it is, it is what allows you to operate your windows after you take the key out (but only before the door is opened). This equipment also allows you to operate your power seats when the key is out if you have them, so maybe check to see if your seats operate as well.
As for the 4X4 lights, does this happen when you start the truck, and do they actually flash or do they come on and the go away after you start the truck? If they just come on and go away after starting, this is normal, it's like a self-test, just like the ABS light & airbag lights. If the lights are flashing, usually that indicates an engagement problem. Are you in any 4X4 mode when they flash? I have had trouble sometimes when attempting to go from 4X4 Auto to 4lo. Sometimes 4lo won't engage, and then I get the flashing 4X4 lights.
One thing you may want to try is disconnecting your battery for 15-30 minutes, which will reset your computer. Reconnect the battery and take 'er for a drive!
Hope I helped and good luck!