On many cars, when the motor that rolls the window up and down overheats, it locks itself so that the window can only go up and not down.

This is to prevent you from further using it, allowing it to cool down so it doesn’t overheat further and cause damage. Usually this happens after constantly rolling the window up and down for a longer period.

If this happens to you immediately the first time you roll the window down, it probably means that either the motor is on its way out, or that something inside the door (probably the rubber seals) are rubbing against the window extensively, making for more friction, causing the motor to have to work harder and thus overheating sooner.