Quiet simply, air conditioning uses fuel. Thus, if the point of argument is environmentally friendly, then winding down windows definitely helps.
However, if the point of argument is efficiency, then the answer is not so simple. It depends from vehicle to vehicle. Basically, at low speeds, winding down windows is a better option as it saves fuel consumption and increases fuel economy. However, at higher speeds, rolled down windows creates drag. Drag reduces the fuel efficiency of a car due to the wind gushing past your windows causing to much air resistance.
So at low speeds, wind down your windows, and at high speeds use air conditioning.