This is the switch in the door, there is a small black switch in the door pillar in the locking mechanism, often the interior light will be on saying the door is open too. If you look at it you can see it, it's quite obvious. Simply take this off and when you unplug it the window should raise up to the locked position automatically, as it's set to go all the way up if there is no switch. Be careful when removing the switch from the door, as there is a metal bracket which it bolts to.
Remove ONE bolt, there are torx bolts by the way, then rotate the switch a little then reinsert the bolt to hold the bracket, then do the same with the other.. Disconnect the cable (door window should go up), usually the switch is fine, simply clean it up well and clean the contacts on the cables, then reconnect and try pressing the switch. If the window goes up when depressed and down when not then it's fine. Simply put back together.. Might be a good idea to seal up the switch too with some grease to stop water getting in.
I had the same problem with my 1996 coupe, it's common, often the switch doesn't fail it just needs cleaning (they are about £10 anyway). Make sure you clean it thoroughly, or it'll just start playing up again in a week or so. I cleaned mine 3 times, as it kept re-occuring, but now it's been months since I've had this problem.
I hope all that helps you.
Cheers
Craig