Welcome to Final Fantasy XI Answers. What would you like to know?

This is only available on the PC version. You'll have to go into 'Final Fantasy XI Config which is in your game folder, (...\PlayOnline\SquareEnix\FINAL FANTASY XI\ToolsEU) or start menu if your have one there.  This setting is on the 'General' tab, check off 'Started in Windowed Mode'.

some other related article which is a bit out dated

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