This article is from the Storms FAQ, by Chris Landsea firstname.lastname@example.org with numerous contributions by others.
No! All of the doors and windows should be closed (and shuttered)
throughout the duration of the hurricane. The pressure differences between
inside your house and outside in the storm do not build up enough to cause
any damaging explosions. (No house is built airtight.) The winds in a
hurricane are highly turbulent and an open window or door - even if in the
lee side of the house - can be an open target to flying debris. All
exterior windows should be boarded up with either wooden or metal shutters.