This tip is valid for all windows operating systems.
I personally had this problem with a game that simply wouldn't run in a windowed mode. So I found out how to force any Direct X game into windowed mode.
You need a simple DXWnd Program, download and more info here
http://appaholic.co.uk/2007/10/16/dxwnd-force-almost-anything-into-a-windowed-mode/
Download and extract the program. Start the program, right click on the game that already exists on the list, select remove or delete.
Now to add your game into the list, Click Edit and Add.
Find the game executeable file with the ... (browse) button, not a launcher, the main executeable file.
Automatic direct x mode, click ok.
Note that you will want to change the resolution with the launcher or in the settings before applying this make sure it fits into your current resolution.
There you can see I have Call Of Cthulhu Added, now just minimize the program and launch the game from the executeable file or from a direct shortcut to the file.
The game will start in a windowed mode.
Enjoy.