Options > Video > Check Windowed Mode, if your talking about not ingame.
1. Open crossfire like normal
2. Log in and join a game
3. Press CTRL + ALT + DELETE and click the "Switch to button"
4. It'll take you to your desktop, right click a spot that doesn't have an icon on the desktop, and click properties
5. A box should appear titles "Display Properties", go find the tab settings, and find the screen resolution box. Drag it to your normal resolution and ALT+TAB back to crossfire, it should now be in windowed mode in game.