When you are in the game, all you need to do if you want Windowed Mode is to press Alt+Enter. Congratulations, you are half way to being in a proper Windowed Mode.

So you might have noticed after doing step one that your desktop is all messed up. Perhaps it's to big or to little. This is because this game changes your resolution to 1280 x 720. So to fix this right click your desk top and click Screen Resolution. Then just move that slider back to where you want it. Congratulations, you are now playing in a proper Windowed Mode.