This has been discussed in the forums before, but finding the thread might not be easy. From my recollection, the concensus (more or less) in the end was, less than 45 miles per hour, leave the windows down - the drag created won't be that great. 45-55 miles per hour, gray zone. Above 55 miles per hour, better off using air than leaving windows down.

btw, MythBusters did a segment on this awhile back. They ran quite a few tests around a track. Their conclusion? They didn't come up with one. Their tests were inconclusive...