Not exactly. You don't want all windows open, you just want one and preferably the driver's side open about an inch or so. The A/C or heat should be blowing out the floor with all other vents closed.
What you're trying to do is create negative air pressure. If done properly, every bit of smoke will be "exhausted" out the driver's side window because that is the airflow you've created. No smoke, or smell, remains in the car.
With multiple windows open you lose the negative air pressure and smoke will swirl around the cabin.