I'm not the biggest on games, but I believe some of the "newer" games gives you the option. It is typically in the Options->Graphic Options and there should be a choice for "Full-Screen" and "Window". There may be a program that will do this, but I'm not entirely sure, I'll do some research for you!
I forgot all about this! This will work on both Windows 2000 and XP, and I believe it should work.
Right click on the .exe of the game. Choose Properties then find under the shortcut key (make sure it's a shortcut and not the real .exe!) choose Run ->Normal Window.
doesn't work on all programs though. My shortcuts for battlefield 2 are set to normal window, yet they run fullscreen. The fullscreen setting is set within the game or via command line.
The setting in the properties window is mostly for the older games wether you wanted em to run maximized (not fullscreen), minimized, or in a normal window when u start them.
That wouldn't work on FFXI either, the game closses it's self unless its in full screen >.> VERY annoying, although you can download a windower for it.