I would be very carefull trying to roll down the windows when they are covered in ice. There is a lot of pressure on the glass and you can break the mechanism. Happened to a volvo I was driving a couple years ago. Hair dryer may not be enough heat too, a cheap heat gun from walmart or a hobby store would be faster.
I've also seen somewhere a really good idea of putting a blanket over the car (windows at least) to make de-icing or removing fresh snow a lot easier than scraping it off.
Edit: found it. It's made for the windshield, but could just as easily be used for the door
http://www.icescreen.com/