Usually means that either you've put too much polish/wax/sealant on it, or that you've not given one of them time to cure properly (not usually a problem in winter) or haven't removed them properly.
I tend to find it's a combination of putting too much on, and not removing properly (it's quite hard to remove when there's a lot, as you just end up smearing it round). Get a couple of microfibres and remove as much as you can, then wash again until you're sure most of it is removed and re-apply LIGHTLY. You need a lost less wax/sealant etc than most people expect - it goes a long way.
If it's really stubborn then a small amount of white spirit apparently removes it well - although I'm wary of putting it on my paintwork. Auto Glym fast glass removes it too, and is much less dangerous for your paint - so if you really can't get it removed then I'd give a quick spray on a cloth for each panel, then rinse thoroughly, re-wash and re-apply sealant.
