duno if its like this on the other exe's... but n e way, open it up in res hacker or what ever u use
click RCData > TFRMMAIN
and goto this part:
object DXDraw1: TDXDraw
Left = 0
Top = 0
Width = 644
Height = 458
AutoInitialize = True
AutoSize = True
Color = clBtnFace
Display.FixedBitCount = True
Display.FixedRatio = True
Display.FixedSize = False
Display.Height = 600
Display.Width = 800
Options = [doFullScreen, doAllowReboot, doWaitVBlank, doAllowPalette256, doCenter, doRetainedMode, doHardware, doSelectDriver]
in the Options part you see doFullScreen, just delete that :P