Mythbusters recently tested this.
Remember water does not conduct electricity, its the impurities in water that does and even then its not a great conductor so its resistance is higher than that of the electric motor so the motor still gets most of the power.
The problem comes from the amounf of pressure pushing in ward on the window making it impossible to slide it down. The motor would actually work it just couldn't move the window and neither could the manual windows.
But if you waited long enough to where the car was full of water then the windows would roll down normally.