If not, and you are talking about original glest, then...
You edit the glest.ini located in your glest folder...
change windowed... to 1...from 0.
[URL=http://img63.imageshack.us/i/ss24t.jpg/][IMG]http://img63.imageshack.us/img63/1706/ss24t.jpg[/img][/URL]
and for your resolution, just change it...
[URL=http://img686.imageshack.us/i/ss25.jpg/][IMG]http://img686.imageshack.us/img686/5605/ss25.jpg[/img][/URL]
or you just use the configuator...that is included
but sometimes it does not work...at least it seems to be like that 
[URL=http://img691.imageshack.us/i/ss26v.jpg/][IMG]http://img691.imageshack.us/img691/7690/ss26v.jpg[/img][/URL]
And if GAE...then...well
later
For GAE, just use the exact same instructions ultifd posted for original Glest but use "true" and "false" instead of "1" and "0".

At least you can do this for windows, I do not know about linux...maybe different.
It's exactly the same on Linux.

I'm not sure, it is possible, always thought, that windowed mode always use the resolution of the desktop.
Yeah, I am pretty sure it is...
Unless I am completely misunderstood...him or her. 
Perfectly possible as ultifd mentioned, also on Linux.

I change to windowed mode by pressing ALT + ENTER.
I drag the top of the game window as far up and as far to the left as it can go.
But the bottom portion and the right portion of the game window still goes past the boundary of the desktop screen.
Well... if you have say a 1280 x 800 desktop resollution and you set Glest(derivative) to run at 1280x800 too... naturally you'll have the Glest window "overlaped" by your panel... Actually your desktop environment (looks like you're running GNOME?) will be clever enough to draw the window just til above the panel... Glest however will assume it has the whole screen to itself.

You can workaround this by lowering the
Height resolution you give to Glest (but you must lower the
Width value proportionally or it will look bad), say
Height=700 and
Width=1120 or just hide you GNOME panel (right-click it for the options

). The later might not work so well though as the Glest window windowborders do take up a little bit of size to draw onscreen...
On moving around ingame... I get exactly the same on Ubuntu (all three engines: Glest, MG and GAE) and ultifd gets the same on Windows so I guess you're stuck with it til someone fixes it. You can use the arrow keys on your keyboard to navigate everywhere on all three engines though.

hmm...what OS? I know it is not windows, but... 
Fedora is a Linux distribution.
