I've been googling for a while, but no luck on finding a way to set it to window mode. Any ideas?

I don't know of a real solution, but a workaround is to run it in a virtualized environment, like in VirtualBox or VMWare. Not very difficult to set up, and then you can pick any virtual screen size you want, and then running the game in full screen will still just be in a window on your real screen.
Similar to that solution, I just run the game in Linux under WINE, then I can configure WINE to set a virtual desktop size that is smaller than my real screen.

Look for OpenPG2, it uses pg2 engine but upgraded. You can change screen mode there.

the game developers are not thinking about the future backwards compatibility mode...

A post on this page has worked like a charm for me. You'll have to download D3DWindower-English.exe first. Find it on the web. Extract the .rar, and follow the instructions in that post I linked to.

There is an unofficial patch that allows to change the game's display mode : PG3DE302
It was meant for PG3D but orks for PG2 as well.