I have a stand fan next to my treadmill and always use it when I walk. If I don't have the fan, I literally can't walk 15 minutes without feeling miserable and quitting. With the fan, I can walk for an hour.
I read an article last year about this that said it did not matter if you used a fan or other method of cooling when you work out, that you would burn the same number of calories. I wish I had bookmarked the article, but unfortunately I didn't. I recall reading about it either on CNN or Yahoo news. I'm obviously not an expert on this, lol, and someone else may come along with another study to show otherwise. I just remember being relieved when I read it