Is it possible to run this game windowed? Thanks!

EDIT: Nevermind, I alt-tabbed out of the game to post this, and looks like that put the game in windowed mode...

EDIT2: This seems to crash the game during fullscreen videos.

Nope, afaik windowed mode isn't working with Act of War out of the box. You could try using DxWnd as a workaround though, but I haven't checked it myself. DxWnd catches the DirectX output of a fullscreen app and displays it in a window. Die game itself still thinks it's running fullscreen.

Thanks. I added the exe, but nothing seems to happen when I try to run it.

The current DxWnd Build 2.02.02 seems to miss a DLL. Try the newest build they've got for download from here (v2.03.23 at the moment):
http://sourceforge.net/projects/dxwnd/files/Latest%20build/
There's also a manual inside.

If I use "alt + enter" the game goes to windowed mode, though I haven't been playing while going into videos. I have used dxwnd before and it had worked great (with other games though).