This has been busted by Myth Busters and Consumer Reports and other car magazines as well. The difference between rolling down the windows and running the AC is minimal. It's not an oil company conspiracy. GEEZ! Sweat to your hearts content if you want to. I'll be enjoying the air conditioned comfort when I have to drive on hot days.
Some people say yes, some say no. In my opinion yes, but my husband says no. We have that argument all the time. I think in older vehicles it does, but in newer vehicles it doesnt effect the gas millage as much.