Here is the solution
I can't play in windowed mode, what can I do?
If you are playing the game at 1024x768 resolution and below, the game will not allow you to run the game in windowed mode.
To fix this problem:
1. Firstly make sure FM isnt running on your computer.
2. Right click on your Football Manager 2005 Icon either on your Desktop or Start Menu.
3. Go to Properties, and left click it.
4. At the top there are three tabs, General, Shortcuts and Compatibility, click on the Shortcut tab.
5. Then in the Target box copy -small_screen to the end of it but dont forget to leave a space between the " and the -.
This should be:
"C: \Program Files\Sports Interactive\Football Manager 2005\fm2005.exe" -small_screen -windowed"
6. Now when you next start your game it will still be in full screen, just go to Preferences and untick the Full Screen box.
Enjoy

Hope some comments