Hello WIY,
I hope that you have a lovely Sukkos (I am not sure of the appropriate Hebrew expression, I am sorry!).
I wanted to let you know, in response to this question and from my various dealings as a child advocate attorney, it is an excellent question and one which a person can’t be too careful about — in Philadelphia, our agency has had to pursue such cases legally where children in the car overheated or, in one tragic case involving a grandparent with his grandchild, the child died. All it takes is one such highly publicized case for government agencies to begin going after these situations.
It is in some ways a catch-22, I think: leave the windows up and doors locked, there is less chance of someone breaking in and G-d forbid a kidnapping, but more chance of overheating; leave the windows down, there is less chance of overheating but more chance of the kidnapping, G-d forbid.
I would have to say, given my experience with these prosecutions, to play it safe, the person should seriously consider taking the children with him/her, to avoid any chance of prosecution, G-d forbid, for endangering the welfare of a child, due to heat (windows up) or some version of neglect (windows down so that malfeasants could kidnap the children).