I've been only able to play Army Men 1 and 2 only in Full-screen mode and have not been able to play on Windowed mode. I've tried different commands but it always gets back into full screen mode.

I know it's years later, but I'm just now looking into the same thing. Did you ever find a fix?

If you look at the forum post I got Army Men 1 to work on windowed mode apparently other people tell me that it works for the other games so you can try.
https://www.youtube.com/watch?v=1X-th2cJx0c