why do we need to open all passenger's windows?

You are asked to raise your shade so that in the event of an accident you can see through the window to help you remain oriented (which way is up, etc.). Because of this, it lets you see what hazards there are outside the plane (fires, debris and such), which would be important during an evacuation. It also serves as a way to let light into the cabin and make it easier for rescuers to see inside.

Upon descent (and also if you are taking off at night) they dim the lights to help your eyes adjust to the darkness, so if anything happens and it goes dark, you're not suddenly blinded while dashing for the exits. It makes the emergency path/exit lights more visible, as these might be the only lights you see in an emergency. As with the shades, it allows you to see outside for orientation, because with the cabin lights burning brightly, the glare would make it impossible.

For more in-depth information, plus security rules and I wrote a small about flying that goes more in-depth, gives security rules and regulations for the US, EU, UK, and Australia, offers tips and tricks for the travel, etc.

http://www.angelfire.com/jamiehassen79/travel.html