This is only available on the PC version. Basically you can view hFFXI in 2 modes. Full screen, meaning you can't access any other screen while in this mode and if you try it WILL cause you to DC.
Or windows mode that will allow you to ALT Tab and access other screens on your computer without forcing a DC. To set this you'll have to go into 'Final Fantasy XI Config which is in your game folder or look for it on your start menu under the FFXI program(...\PlayOnline\SquareEnix\FINAL FANTASY XI\ToolsEU). This setting is on the 'General' tab, check off 'Started in Windowed Mode'.
Please do not confuse windowed mode with windowers.....windowers is a 3rd party software that can get you banned if detected. Windowed is the mode you will find in the FFXI Config program