This is the stuff to use, and where to get it. It's not styrene- clear styrene doen't behave particularly well for this use (although the opaque white stuff can be shaped this way).
http://www.squadron.com/old/thermaform/thermaform.htm
This is really the only reasonable way to scratchbuild a windshield (don't even THINK of trying to cast one in clear resin!!), but it is a bit of an advanced technique. The trick is in getting the master right.