A huge rock is rolling down a mountain.

[Tarheel]

If I say "The thief is climbing down the third floor window", does it mean the thief is still at the the third floor window?

Keep in mind that that's an unlikely sentence. I wouldn't expect anybody to say that.

 

[emsr2d2]

With the exception of those nutters who use suction cups to climb up/down the outside of glass buildings (it's some kind of extreme sport), people don't "climb down windows" at all. You can "climb out of a window" or "climb through a window" (an open window, obviously!)