The enclosing of balconies/terraces is against the law in Spain
However, as you have seen, many many people do this, me included!
You do not need planning permission obviously as you wouldn't get it anyway cos' it's illegal!!!
Our Administrator (Spanish) told our Community, that providing the windows are removeable, then it's ok
Most double glazed sliding windows are removeable for cleaning anyway, so they are the best ones to go for
Where in Spain are you?
I have a great "window" man I could recommend in Costa Blanca.
The only other thing I would point out, is that if you are in a community, you must inform your Presidente of the works and make sure there is not a community rule that states "all windows should be of the same style".
Hope this helps..........