If you want to play windowed mode, edit the dosboxPRIV.conf file and set fullscreen=false and set windowresolution=1024x768 or whatever resolution you would like the window to be like 800x600, etc etc.

Hope that helps and who want windowed mode.

EDIT duh.. I didnt know there was a graphicmode setup.exe in the program directory, looks like I was going about it the hard way.

You can also simply press Alt+Enter to switch back and forth. ;)

I tried to do this and it said access was denied.

If you're using Vista or W7, and installed it to Program Files, you need to turn off User Account Control; when that's on, it prevents anything from modifying files in there.