This is not a window, this is a drop-down box.
It is NOT called a "drop-down menu". While that term might be "technically correct", sort-of, because it is a menu, and it is drop-down, no one will ever say "drop-down menu", because they will say "drop-down box".
A "window" is a thing that your entire program is contained in. For example, you might have a browser window, a Photoshop window, and a control panel settings window. However, after they are open, they will always be referred to with "the". "A" will only be used if someone is saying, "Open a new browser window", or similar. You can also have a second browser window, which, like the first browser window, contains several open tabs.
A "small window", when we answer this question without additional information or pictures, we might think you are referring to the small boxes in the top corner of the window which are used for minimizing or closing the program or window ( __ [ ] X ), or a subframe... uh, put that into Google images if you don't know. All in all, it does not make sense to refer to a menu OR a drop-down as a "window". I think that typically, windows have frames or borders. That may be the difference.