Dear RattyMouse,
To be honest, after a while it doesn't stick to regular windows. For the door window I removed the grill, placed the material, then replaced the grill to hold it in place. Without it I'm sure it would have fallen off. For the garage window, it has pulled away in places, but the edges are held using aluminum tape of the sort used for duct work.
One further tip. If I need fairly large pieces of plywood or the like cut, both Home Depot and Lowe's will cut them close enough to size. They will also toss out any scrap you don't need.
Neal