Well, one way is to head into the folder on your computer where you have Shaiya installed and then open the file named CONFIG with the Shaiya icon on it. In the window that pops up, you will be given the choice under the 'Graphic' tab to choose between 'Window mode' and 'Full screen mode'. You obviously want to make sure the former is selected, then hit 'Confirm'. Should solve the issue.
SeasonsEnd/MadManMoon/Uigeadail - retired from Shaiya as of May 10th 2014.