The OK means just that, all systems check out OK.
Squealing could be the accessory drive belt or perhaps the tires (different compounds react different ways on hard surfaces), my bet would be tires (assuming Quattro) and a sharp turn. I'd need more info as to the location you are hearing the noise from though.
Pads may be worn, check the material and see how much is left... They may have used a non-OE replacement pad with a different compound that could just make more noise than the OEM variants. There is also suppose to be anti-squeak material on the back of the pads, Audi uses a pre-applied adhesive but aftermarket pads usually require it to be added before installation.
The window may just need to be adjusted, take it to the dealer, using your warranty and get it fixed. If you are feeling especially cavalier about it I'd say adjust it yourself but given you have a warranty and your long list of concerns I'd hit up the dealer and be done with it. You shouldn't have to fix a car you just bought unless it was bought of that intention which this one clearly wasn't. The window seal itself could also be deformed or loose, again a dealer concern.
There is an engine with lots of moving parts, hearing a faint noise from it while the hood is up is normal.

How many miles on the car? Has the timing belt been replaced? If so, how long ago? Accessory belts, when were they last serviced or at least inspected?
No offense but you mentioned you had a Z28 and some previous knowledge of cars, but these are all rather common and non-platform specific concerns that most DIY'ers should be somewhat already informed of. Take the car to the dealer, you have a warranty and shouldn't have to be troubled with problems, plain and simple.