Ed, you don't specify what brand you are working on. Atlas, MTH and K-Line made MP-15 diesels. Given that some of your posts in the past have referenced traditional types of products, could this be a K-Line? If it is, the window is one piece, like a box, around all four sides of the cab with a solid roof.
Gently bang the cab part of the shell against something... the end of a cushioned chair or couch. Or a counter with a towel on it. Not real hard... don't want to damage the loco shell... using a cushion over the surface will help.
But keep banging it and you'll see the window insert piece start to drop to the point where either it will come lose on its own or you can insert a stick or screwdriver through the side cab windows (from one side window to the other) and help push it down.
This has worked for me.
Given the amount of repainting I've done, I wouldn't want to mask the window shell unless there was NO other option. A lot of work for potentially risky results. And for any shell that is part of something that is illuminated, I like to prime both the inside and outside with grey, especially if the finished color is a light one such as yellow.
Who wants to go through all the work of repainting and decals only to have a light glow through the shell. Of course, some of the newer products with LED's, this might not be as much an issue.