I'm going to be 'that guy' did you try..
http://www.project1999.com/forums/search.php
If you really cant find one of the other hundred threads about windowed/fullscreen...
Make sure your resolutions are the same for windowed/full in your ini
Hit alt+enter while you're in game.
Also the clicking outside the windowed game is your fps dropping because titanium client. This can apparently be fixed by using wineq.