Definitely file a police report at the scene.
You'd have to prove the store was negligent in the safety of your car, if in fact they own the parking lot property, for them to be liable. This is not easy to do. They should have cameras though, so you should be able to see what exactly happened to your car.
I wouldn't even file an insurance claim if the window isn't to expensive to fix. The insurance company will jack up your rate next renewal.