I had the same thing happen to me once -- went into the store on a winter night and when I came back I was surprised to see I had left my window open a crack. "When did I open that?" I thought. Then as I was driving down the road, my entire window suddenly fell into the door. I'm not sure how it didn't crack?
When we called our local VW dealership the next day they weren't surprised at all and told us to bring it in. The problem is the clamps that hold the windows in place are made of a very cheap plastic. Sometimes when moisture gets in the door and then freezes, it expands and pushes the windows off the clamps - causing the windows to literally fall into the door. There are even reports of this happening when it gets hot outside, the windows apparently just slip off the clamps entirely. Classic.
There are even multiple reports of this happening multiple times to the same window, but luckily our local VW dealership had a "solution" - instead of just placing the windows back into the faulty clamps, they actually apply an adhesive to the clamps to help hold the windows in place. Since they started doing that they haven't had repeat problems, so it's worth asking your service station if they are going to use an adhesive - hell, even duct tape would be better than nothing.
There's a good web site on Windows Falling Into Door at VWProblems.com