It's sort of a double-edged sword: if you're in a nice shaded area and leave your windows sufficiently open for a nice breeze - the dog(s) should be fine. However, now your car is not really secure (unless you have a true guardian-type dog) because a quick-moving thief can open the door, let your dog out - and help themselves to the contents.
We prefer to lock the closed car and bring the dogs with us - which sometimes means one of us is standing around in the parking lot while the other sees a sight.