Go to My Documents\My Games\GalCiv2 (or the DA/TA folders as appropriate), open the file prefs.ini, and make the following changes:
Change
DisplayWidth=1024
DisplayHeight=768
ColorDepth=32
Fullscreen=1
To
DisplayWidth=(Your desktop width)
DisplayHeight=(Your desktop height)
ColorDepth=32
Fullscreen=0
Then save the file and start the game.