And if, for some reason, you need to edit the settings file manually to do it, you can find it here:
On Vista/7: C:\Users\YOUR_USER_NAME\AppData\Local\Ironclad Games\Sins of a Solar Empire\Setting
On XP: C:\Documents and Settings\YOUR_USER_NAME\Local Settings\Application Data\Ironclad Games\Sins of a Solar Empire\Setting
You can edit the user.setting (or diplomacy.user.setting) to set this line:
VideoIsWindowed TRUE
