Look at the Configuration program.
You can obviously set it in Windowed mode, and it works for the most part, there is an annoying bug which won't end your turn after you pressed the End Turn button until you click outside of the window then once again select the window, but that takes about a second to do.
Also, some of the crashes reported in this thread are most likely due to the fact that for some reason when running the program windowed it will lock up if you're fiddling around with other programs at the same time. Boot the game up and give it a chance to properly load everything or else it might crash.
Windowed mode is pretty buggy.
Post edited January 08, 2009 by EyeNixon