There might be people who wants to play IG in windowed mode, so here we go:
- browse to directory you installed IG
- open Config.sb with text editor (Wordpad, Notepad etc.)
- find line #3 which is by default .FULLSCREEN TRUE
- change it to .FULLSCREEN FALSE
- save and close file
- start IG and notice how it runs in window now
For turning fullscreen mode back on, just replace FALSE with TRUE

Erm, yeah. That's what I wrote in this thread:
http://www.gog.com/en/forum/imperial_glory/error_the_application_can_amp_039_t_be_initialized

Worked perfectly, thanks.