I also agree that the plastic might be an issue. Try stretching it tight and adding more staples so that it doesn't flap in the wind. Also trim the extra plastic with scissors or a box cutter, if the coop is a little drafty then the excess plastic will flap in the draft in addition to the plastic over the window making noise in the breeze if it is too loose. I wrap the outside of my run in plastic on the north and west sides in winter to cut the wind (makes a huge difference in how comfy the run is!) and while the girls are all ok with it once I get it up they all run around like the sky is falling while I'm fighting with the plastic to get it on the run. If it breaks free in a strong wind and flaps that also scares them.
I didn't see anything about how long you've had these chickens (although I will admit that I just woke up so maybe I missed it), but most people agree that you need to lock new chickens in the coop and/or run for about a week or so until they realize where "home" is. When our first chickens went out to the coop we weren't quite done building the run, so they were locked in the coop itself by default and we only took them out for outside play time when we were home. They were confined to the space under the coop with dog panel crates, they were in that everything-is-scary-teenage stage at the time so we didn't let them "free range" because we knew that it would be a battle and chase to catch them up. By the time we got the run constructed, they knew very well where home was and put themselves to bed every night. When we added a few new chickens to our flock this fall, we quarantined them in an A-frame tractor that was first in the garage (away from the other chickens) and then moved into the yard for a week so that everyone could see each other but not actually get to each other. When we put the new chickens in the big coop with the rest of the flock I made the mistake of not shutting up the tractor and lo and behold, all three of the new chickens put themselves to bed in the tractor instead of the coop. Shutting the tractor so that they didn't have access was all it took, they then followed the other birds' lead and put themselves to bed in the coop the next night.
So what I would do is make any fixes to make the coop more comfortable (ie battening down the plastic and maybe rearranging the roost) and then lock them in the coop and don't let them out into the run for at least 4-5 days (a full week would probably be better). Once they figure out that roosting in the coop is safe and comfy, they should put themselves to bed when the sun goes down each night. And if they don't, waiting until just after sunset will allow you to just walk up to them and pick them up to put them back in the coop rather than stressing everyone, yourself included, by chasing chickens all over the yard.