At low speeds, yes
But above about 60mph, the drag caused on the engine by the AC pump is pretty negligible compared to the drag caused by having a window open.
Not to mention it's hardly pleasant driving down the motorway with a window down.
Also many air con units need to be run periodically, to circulate the refrigerant and lubricate the seal on the pump. If it is allowed to dry out through lack of use, you will often find that when you do want it, you can't tell the difference in cooling because it's unable to pressurize.
Most car owners manuals (ime) have a small note telling you to run the AC periodically during winter, for just this reason.
(Hairy Bob, Fri 14 Jan 2011, 10:45, Reply)