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If you leave your lights on with selector not in Auto mode... there is no chime like other cars to remind you of this oversight... if you're like me you notice as you walk away that you accidentally left them on. Simply hit the lock button twice on your remote and it will shut off the headlights.
I had a MB E320 that when you held the lock key, all of the windows (and moonroof) would close. I don't see that on my 04 LS430.
I held down the unlock button and all the windows started to roll down. I figured they would roll back up with the lock button but I've never tried it.
I'm guessing they meant the button on the door handle for cars equipped with the Smart Key.
For physical turn key owners, turning clockwise to unlock, then turning and holding clockwise will bring the windows down. (Counter-clockwise and hold to bring the windows up.)