Is there a law to protect me from my neighbor taking videos of me through my window?

Are they on your property or their property ? Where do you live, laws vary on location

ANY question on law needs to include your general locale as laws vary by area.

More details are necessary. Was the neighbor on your property and up close to your window. What were you doing while he was taking the video?

Or was he on his own property taking video and just happened to catch you?

How did you become aware of the video? Did you ask him to erase it?

If you don't want him to take a video of you, close the blinds.