Assuming you're in the EU, a 2006 Mercedes is required to be EOBD compliant. Given that the model year is relatively recent, means that it is using ISO15765-4 (CAN) as the communications protocol.
Reading speed, RPM, fuel level, et cetera could not be easier, as they are all generic OBD-II parameters. Controlling doors/windows, etc is more difficult, but may be possible -- depending on the network architecture. If there is a gateway between the diagnostic port and the rest of the bus (as is often the case), then you must bypass it in order to monitor and send messages on the CAN bus. Do realize that you would be doing this at your own risk, however -- as the messages you send, may be interfering with critical engine and transmission control messages (damage to mechanical components is a possibility).
Messages that are used for control are rarely documented, so the only practical approach is reverse engineering. Set up the interface for monitoring, then adjust your radio volume up/down and see if you can identify which messages are being sent in response to your actions. Repeat for windows open/close, lights on/off, and so on.
My opinion is biased, but if I were you I would use OBDLink as my OBD interface of choice. It is more expensive than the ELM327 based interfaces, but it gives you more control, and it is firmware upgradeable. You can get it with WiFi or Bluetooth, although if you can, stick with a wired connection (one less thing to worry about).