Windows Vista users - Open your start menu and go into the search bar. Type in final fantasy config and open it. Tick the box that says windowed mode and its as simple as that ^^
Non-Windows Vista users - Go to start, all programs, play online, ffxi, ffxi config and then tick the box that says start in windowed mode.
Please note that during game installation you may have chosen for the game not to show up in all programs. If this is the case then go into my computer, playonline,square enix, ffxi, tools, ffxi config and then tick the box that says start in windowed mode.
Jambo - 61mnk, Alexander server Sakinu - 31rng, Alexander server