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An exact bit error rate (BER) expression for an OFDM system with windowing reception is derived. The effects of several Nyquist windows, including the raised-cosine window, the "better than" raised-cosine (BTRC) window, the second order continuity window (SOCW), the Franks window, and the double-jump window on the performance of the system are examined based on both BER measure and signal-to-interference (SIR) measure. It is found that the SIR comparison is not necessarily consistent with the BER comparison. The BTRC windowing gives the smallest BER among the five windowing functions considered for small to medium values of pulse roll-off factor. However, the Franks windowing or SOCW windowing shows better BER performance when the roll-off factor approaches one.