Opening your windows in the winter is recommended to help air out the house and allow some fresh air inside.
This can help get rid of any dust, smells, viruses etc that can be floating around in the house so by allowing fresh air into the house you help get rid of indoor air pollutants that can make you sick.
However I do not open my windows in the winter as it just removes the heat from my house.
I use an air purifier in the house in winter to help remove air pollutants in the house and never had any health issues.
However in the spring and summer I do open my windows to allow fresh air in and the first day it gets warm enough my windows are open as well as my front and back doors to allow the air to come inside.
But wintertime the house stays closed up to keep the heat in which is expensive.
In the spring I have my windows open everyday and all day while I'm home.