The Niagara River isn't very wide. It seems like it would be an easy trip from Canada to the US. But the U.S. Border Patrol doesn't suggest you come that way.
UPDATE! The Rensselaer County Sheriff's Office has announced a suspect has been arrested, and charged with burglary and grand larceny for allegedly taking the Eagle Mills Fire Department's Fire Utility truck. No other information was released.
I am an animal lover and there is no more helpless feeling than being in a parking lot and noticing that someone has left a dog in a car with the windows up or slightly cracked. There is no question what you want to do but can you legally break a car window to rescue a dog in New York state?