korell: You could try the methods described here:
http://sigma-team.net/forum/viewtopic.php?f=10&t=5934&sid=78842dc26dcc6a24fa9328b40e12699e Though I gather it's not perfect. But you might want to try and see for yourself. That said, though, as this is the first game you may need to search your registry keys.
IronArcturus: I've found a way to turn on windowed mode. First navigate to this path (Windows 7):
...Users\[username]\Documents\AlienShooter2 Reloaded Saves\Saves
Then edit the '_global.dat' file and change iFullScreen=1 to iFullScreen=0
Save the file and relaunch the game. It should now run in a window. The text is a little misplaced, but it's still playable.