The car is behaving like a closed pipe, so you get a resonance set up. There's a Wikipedia article here, but for once the Wikipedia article isn't that great, so there's another better article here. I imagine you (like most of us) will at some point have discovered you can make a sound by blowing across the top of an opened bottle, and it's the same thing happening in your car with the open window acting like the opening in the bottle. Since your car is much bigger than a bottle the resonance frequency is uncomfortably low.
When you open a second window you get an air current flowing through the car and this destroys the resonance.
Later: amazingly someone has actually published a paper about this. See http://www.me.iitb.ac.in/~fmfp/FMFP%20PROC/am_13.pdf. Some people have too much free time :-)