No the windows won't explode if you keep them open. The first thing they tell you if you're in your house and there's a tornado warning, is to open all your windows, so that the pressure in the house is equal to the pressure outside the house.
That's a sick video BTW. The movie Twister got me obsessed with tornadoes when i was younger. Just and awesome and beautiful natural disaster.
I prefer snow to tornadoes and hurricanes any day.