check to see in the sfc.ini file that "windowed=0" is actually "windowed=1"
EDIT: On that note, I can't play windowed either way. I'm running WinXP x64 with a dual monitor setup and I'd sure like to be able to change the CD in winamp on the other screen without quitting the game if there's a fix or workaround. The game seems to load fine in windowed mode, but nothing but the cursor appears on screen.
machine stats if it'll help:
Pentium D 2.66GHz (dual)
1GB RAM
ATI Radeon X200 (integrated) @ 1280x1024 (monitor 1, secondary)
ATI Radeon X300 @ 1280x1024 (monitor 2, primary)
2nd EDIT: typos. ugh.
3rd edit:
switching the monitors between the cards didn't help. (i.e. making monitor 1 the primary instead of monitor 2)