How to activate Window mode:
To activate Window mode, go to your LFO folder (e.g C:\Program Files\U1 Technology\Little Fighter Online) and search for a textfile named "lfo.ini".
Once you open it you'll find something like this:
---------------
[video]
fullscreen=1
[BGM]
on=1
[intro]
show=0
[user]
lastlobby=6
region=0
---------------
On fullscreen=1, replace the 1 with a 0. Now you can run LFO in a window.