The film on the windshield is more like a wax than an oil. Denatured alcohol is a polar solvent and not as good at removing these films. The removal of this film needs a non-polar solvent.
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A quick and perhaps oversimplified chemistry lesson:
Molecules can be though of "magnets", with some being stronger than others. The strength of the depends on the atoms. (Note, what I am talking about is very different from ferromagnetism, the typical magnet we think of.)
Molecules that have oxygen in them (H2O (water), CH3OH and CH3CH2OH (alcohols), CH3OCH3 (acetone)) are quite strongly polar because oxygen likes to suck electrons from other atoms. Water is the strongest of this bunch. Alcohols and acetone are more weakly polar. Water will dissolve salts but won't dissolve oil or wax. Alcohol and acetone, being weakly polar, can dissolve many oils and salts, but not wax.
Molecules that have only carbon and hydrogen in them have almost no polar qualities. They are like a magnet that has become demagnetized. Common solvents like this are C6H6 (benzene, banned because it causes cancer), CH3C6H5 (toluene, quite safe relatively speaking), CH3CH3C6H4 (xylene), C11H24 (varsol). Paint thinner is a mixture of several non-polar solvents. All of these will dissolve waxes, but not touch water or salts.
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When we clean the waxy film on the windshield with ammonia or vinegar it "polishes" the wax to make it look clear. This is what we are doing when we wax the outside of our cars, except car wax is much better. If we used the same waxy stuff from the windshield on our painted surfaces, it would probably shine up very quickly, but then become hazy soon after.