I'm currently living in Germany, where air conditioning beyond the walls of supermarkets is an alien concept. All I have is a fan that blows dust around... and a fridge with cold, cold water!
That said, opening the window is, in my opinion (formed from growing up in a part of Canada where we sometimes hit 42°C in the summer with 100% humidity almost every day), usually stupid - at least during the day. It lets all the hot, muggy air in, not to mention flies and other nasties.
I always leave it open at night, though, that helps a lot. More important than opening the windows is keeping the light from seeping in - heavy curtains or blinds are good here, as is sticking to the side of the house/apartment the sun currently isn't cooking (for me, this means the study is off-limits in the morning and kitchen/bedroom are off limits in the afternoon).