i don't particularly like that statement, so let's try to clear this up a bit.
at high speed, having your windows open typically does create enough drag to make it more economical to use AC.
in situations where you're typically at low speeds (i.e. start-stop city traffic) the amount of fuel you use just getting up to speed from stopping/slowing down is significantly more than simply maintaining speed, so since you'll be getting crummy mileage anyway, just go ahead and use the AC (windows open however, is the more fuel efficient way to keep cool). want to save the most fuel? windows up, AC off. sucks, don't it?
now, when you're on the highway, we've established that "windows open" creates too much drag. so run the AC.
but wait- doesn't the AC use power from the engine?
yes. but you have to understand how vehicle AC systems work, which is *essentially* the same as a refrigerator. the compressor (driven by the belt [and thus also the crankshaft]) has an electric clutch. when the compressor is disengaged, the pulley on the compressor is allowed to spin freely. when the compressor 'turns on', the clutch on its pulley engages and uses the belt to run the AC compressor. [that is the "click" you can hear periodically outside your vehicle; also electric cooling fans if you have them]
just like a refrigerator, the compressor only "kicks on" when the temperature sensor feels that the ambient temperature inside is too high for the current setting. so because the compressor only runs intermittently, it uses less energy than the amount of energy needed to overcome the drag of having your windows open. (obviously not in
every case; there's always the possibility of extenuating circumstances)
i'm a bit long-winded; i oversimplified some things; i under explained other things. i'm sure someone will chime in and do a better job than i did.
hope this helps you in your quest to understand why.