Set the resolution of the game lower then your screen resolution, and you will see the banners coming.
In principle, when you set the desired resolution equal to the screen resolution, the game will "fit" itself into the window. However, if you have dual screen for instance, you can still move your mouse over the 2nd screen, and click things, while the game stays open en on top.
Most used reason why people run windowed mode, is so they do not have to ALT-TAB out of the game. But if you said it to the full resolution of the screen, you will get a filled game window.