This is how I do the windows, it gives you a 3-D look: http://acaketorememberva.blogspot.com/2010/04/car-cake-steps.html
If you are using fondant, then you can paint in shading with food color mixed with clear alcohol. I did this with a lightning mcqueen cake. I put a layer of white fondant over the top first, then layered the red on top. Then i cut the openings for the windows so the white showed through. Finally, I painted the widows. www.flickr.com/photos/cassandrabakescakes/5924877759/in/photostream
Hope this helps! Good luck!
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