We're always told that Air conditioning costs fuel, but (whilst true) it's not quite as simple as that.
If you're driving at low speeds, open the windows to cool down. But, if you're driving at higher speeds (Dual carriageways, Motorways etc.) keep the windows closed and use the Air Con.
Opening the windows has a serious impact on the amount of drag that the vehicle has to contend with in order to maintain speed, and so you burn more fuel. At lower speeds the trade-off isn't so great, but at higher speeds it may cost you more than using the Aircon!
Of course, a cheaper option is to do neither and slowly cook inside the car!