But does closing windows really help? I mean sure, short term it slows down the exchange of air between the inside and outside, so it'll be helpful if there's a sudden spike that goes away. But if the pollution is a chronic problem, and it certainly is in Shanghai and New Delhi, then eventually the equilibrium will equalize and the air inside will be just as bad.
It helps when there are drastic spikes in PM levels outdoors such as during rush hour or during high pollution events like Diwali. (people burn fire crackers en masse during Diwali, creates a ton of pollution)
Also, we do have air purifiers and air conditioners running indoors so those help a bit, but once you put them off, opening the doors and windows isn't going to help with situation.