I just purchased my 02 about 2 weeks ago and washed it for the first time today. It has some waterspots on the paint and on some parts of the glass that just wouldnt come off with washing. Any thoughts on what might remove it?

 

You'll need to use a polish or polishing compound, not wax. You can use the polish on the windows too. You will need something with a light abrasive to remove the spots.
For the windows you could also use the polish for glass cook tops but plain auto polish is probably cheaper....
Read the instructions on the bottle of auto polsih when you do the painted surfaces and I would only do the areas that need it, not the whole vehicle as the polsih is more apt to leave polsih/ swirl marks
Once you have done the polish follow up with a good wax, and wax regularly, always dry the vehicle quickly after washed and if at all possible wash it in the shade.
If you go to a car wash always use the spot free rense.
Good luck and post some pics!