So I don't remember which TV public service announcement that I heard this from. I think it was on one of the cable channels that was advising how you can make NY City more "green". In any case, that isn't relevant. What it did say was that you can save gas if you drive with your windows up, especially at high speed.
Of course, with everything being the equal, this is true. If you drive with your windows down, you create more drag, or air resistance, for your vehicle. Thus, you burn more fuel as you drive, especially when you're driving very fast.
HOWEVER (somehow, I think you were expecting that, weren't you? :)), let's consider the situation here of when you usually drive with your windows down. It is typically in the summer, or when the weather is warm. So, if you roll up your windows, you inevitably crank up the air-conditioning! So now, you've reduced air drag on your vehicles, but you're using up additional fuel due to the air conditioning.
So which one uses up more fuel - driving with the windows down but no air conditioning, or driving with the windows up but with air conditioning? I haven't looked into the calculations of how much power is used is a typical car air-conditioner, and I haven't looked into it yet on the amount of drag created when a car drives around at, say, 60 mph (yes, we still use mph here in the US). Does anyone have some rough estimates on what these might be? Off the top of my head, I would think that driving with the windows down instead of using air conditioning might be more energy efficient than the other alternative.
Of course, driving with the windows up and not using air conditioning is a no-brainer better option. But the PSA didn't say that. All they said was to drive with the windows up to save fuel. That is not the complete story.