|MadSci Network: Engineering|
Cars are fraught with various inefficiencies simply because they 1) drive on rubber tires over asphalt, 2) have to carry a huge, heavy internal combustion engine, and 3) face increased drag with each higher speed they achieve.
This last inefficiency is the one of most concern to your question. Consider the way cars are designed today. You are correct to conclude that a car with the windows down produces a great deal more drag then one with the windows up. Further the more windows that are open on the sides of a car, the more drag is present. This decreases somewhat if the back or 'moon roof' windows are open on different faces of the car, because they allow air to flow through the car. Still, the drag is more than that of the closed car, because the air slows down considerably once it enters the car and hits seat, you, your dog, or other obstacles.
Air conditioning is another matter. You car has sensors mounted inside the ducts from the air compressor to the 'cabin' section of your car, which detect when the air temperature reached a designated setting (the setting of the temperature control knob on the dash). Once this increase occurs, the compressor starts, and heat is pulled out of the air via freon. The real problem however, is that the energy for this compressor is drawn from the same source as every other accessory in the car, the engine. Since the compressor requires so much energy, the drain on the engine's resources is greater. You may have notices that the car slows down or loses power when the air is turned on.
To truly consider your question, we consider the amount of drag created when a car's windows are open versus the certain reduction in fuel efficiency created by the use of air conditioning. The only true way to do this is a test on a fixed distance course with a measurable method to determine fuel efficiency. Still, you get a pretty good idea of the difference from everyday travel. Try opening all the windows in your car on every trip (weather permitting) for a week. Assuming you make the same trips the next week, make every trip with the windows up and the air conditioning on. You'll find that the decrease in fuel efficiency caused by the air conditioning is considerably greater than that of "open-windows drag."
Try the links in the MadSci Library for more information on Engineering.