Some windows already have a metal coating on them and putting a film over them can trap heat between the metal film and the new film which will crack the glass. Most film manufacturers provide a guide which will tell you which windows can be filmed and which films to use.
I have have successfully filmed dual paned windows but if memory served me (it's been awhile) you shouldn't try to film Low E glass or argon filled windows.
Again, your best guide is to contact the manufacturer of the films.