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.
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The proper response would be to roll up your windows. Perhaps the officer was fearful for some reason. The only thing you can't be forced to do is incriminate yourself.
Rolling down window would be for the Officer's safety. Other than it not wise to mess with an armed Officer there is no law requiring rolling up the windows.
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.