Myth.
The car was a four-door Pontiac 6000 LE with 1,600 miles on it at the start. We drove 300 miles in each of the combinations described above, maintaining a 60 MPH speed on more or less level interstates throughout. Here’s what happened:
Windows up, AC off: 35 MPG
Windows up, AC on: 34.4 MPG
Windows down (all four), AC off: 33.8 MPG
Sources:
http://www.straightdope.com/columns/read/1010/what-gets-the-better-gas-mileage
http://www.gasmileagenews.com/blog/1044479_ac-or-windows-down-which-one-is-cheaper