Question: This will perhaps look like a very basic and trivial question. But I find it confusing. As an experience, when you are travelling in non-AC car in summer, have people felt if putting on or putting off the windowpane affect how much heat it feels inside to passengers.

On one hand, I feel that heat can still come inside thru glass particles (This makes me ask if heat needs media to travel?) and so putting on windowpane should not reduce heat felt inside. But psychologically it feels like by closing the window, you are blocking heat. Also the windowpane will at least block the heated air from coming inside. But does this heated air really brings much heat apart from the heat coming through anyway or it actually in practical acts more like a ventillator thus reducing heat felt inside.

I realize that this question may appear strange, but it pops up to my head everytime I travel in non-AC car in summer. I have tried to articulate it as well as I could.

Do insulator windowpane glasses reduce heat felt inside? because they will transmit lesser heat inside. How do black shade glasses work?

Answer: 
A couple of different effects here.

A glass windowed box will heat up to considerably more than the outside temperature. Radiation from the sun, as visible and near infrared light, passes easily through the glass - hits the black interior surfaces and heats them up, this in turn heats the air and the glass stops the warm air escaping.

Opening a window will let the hot air escape and the inside cool to approximately the outside air temperature - it can't cool below this without some power source (eg AC).

Putting your hand out of a moving car window will strongly cool your hand. Water from your hand evaporates, cooling it, the wind blows this warm wet air away quickly allowing more fresh moisture to leave your hand. This is the wind-chill which although it can only cool your body to the air temperature makes you feel very cold as your body tries to maintain it's normal temperature.
If the car is in the sun closed windows will trap heat due to two mechanisms. As dbrane says the greenhouse effect is named after onr of these this effects, the radiation comes in at shortwave lengths, and the reradiated thermal energy is partially blocked by the glass. But any dark object in direct sunlight will get surprisingly hot, 150-200 F is not uncommon, so leaving the windows open a crack allows some airflow, bringing the inside temperature closer to ambient. Also in dry heat, opening your windows for the first couple of minutes of driving to drive out the superheated air is more efficient then immediately turning on the AC.