Windows are directly associated with Emma. They serve as symbols of a couple things. One, they serve as a connection between Emma and the past. At the ball, Emma notices the servants working outside (through the window) and is reminded of her childhood. This simplicity is contrasted with the glamour and fanciness going on back inside at the party. The window serves as the connection point.
More often however, windows are symbollic of escape - the desire to and the fact that Emma never does. First, she desired to escape her former and more simple way of life. Notice how often the reader is looking at Emma from the outside of the window - it is as if she is penned inside wondering if she really got what she wanted. She contemplates suicide by jumping out a window. She waves goodbye to Charles and Leon from inside a window. Adding to the idea of escape, the windows also serve as a symbol marking Emma's lack of contentment. They are a dividing line between two worlds - and whichever side Emma finds herself on, she's constantly wondering if the other is better.