I don't remember where I got this really, I'm posting it because it's a lot easier than alt-tabbing, which takes forever to get back into game after doing so...
Alright, here's how I got this dll for windowed mode working on Windows XP, Service Pack 2...
1: Downloaded PerX attached (Virus Scan: Here )
2: Download the DLL attached (Virus Scan: Here )
3a: Pay tribute to me :P (Joking lol)
3b: Extract both to desktop (Doesn't really matter, just extract it somewhere you can find it easily.)
4: Start PerX and Browse for the dll you extracted in step 3b.
5: Make sure PerX is set to Automatic and NO Compatibility mode or Run As Administrator is set (remembering this is only confirmed to work for Windows XP SP 2.)
6: Start Combat Arms!
You should start it up and after loading you will be in a windowed mode. If you want to incorporate this into a Hack you can just add it to inject last on PerX or whatever Injector you use.
I Hope I helped!