Some resolutions don't allow full screen to turn off. Change your resolution until the fullscreen option activates, then choose that one and select Full Screen Off.
You probably need to change the resolution of the game to something lower than the resolution of your monitor/screen. To find out what your screen resolution is, right click on desktop, choose properties, then the settings tab. Then change the game's resolution (in options) to something lower than that.
In most programs you can hold down the ALT button and press ENTER to automatically turn fullscreen off and on. Also like someone suggested maybe the screen resolution thing will work. I have heard off people not being able to get into fullscreen mode, but never the other way around. So yeah, the ALT and ENTER trick works for me with this game.
