Full Screen Video option

I'm not sure if this is a bug or just me not understanding what this option does and doesn't do.  I unchecked the "Full Screen" checkbox on the Video page of the Options screen thinking that it would cause the game (Dread Lords) to open in a separate window and allow me to open other applications without exiting the game.  Specifically, since I am playing my first game, I would like to be able to open Word to take notes as I am still figuring out which features are impacted by changing others.  Unfortunately, my Windows control bar at the bottom of my screen only remains during the introduction.  When I get to the game selection form (i.e., for Loading a game, changing the Options, etc.) the control bar disappears and I have to quit the game in order to use any other application.  Is there a way for me to open another application without being forced to quit the game?