I am not aware of a specific law but you generally should obey a police officer when you get pulled over. In all likelihood the police had a reason.
I am a former federal and State prosecutor and now handle criminal defense and personal injury/civil rights cases. Feel free to check out my web site and contact me at (212) 577-9797 or via email at Eric@RothsteinLawNY.com. I was named to the Super Lawyers list as one of the top attorneys in New York for 2012. No more than 5 percent of the lawyers in the state are selected by Super Lawyers. The above answer is for informational purposes only and not meant as legal advice.
You do not have to roll your window up if the cop tells you to. We have freedoms in this country it is not a police state. That said, you should never roll your window down more than a crack when you are pulled over so the police cannot stick their heads in your vehicle and claim that they smell weed as a pretext to search your vehicle.