Playing DOS games in windowed mode

Is there a way to force old DOS games (or any games for that matter) to play in windowed mode so that I can play them while still using my normal desktop? I run a pretty good Athlon with Windows 2k as OS. I already tried to set the games to window mode but when I start them they still play in fullscreen which looks rather blocky on my monitor.

I use Alt + ENTER to toggle between full screen and window with a DOS-based application. It isn’t a game, however.

The following is from the Windows NT help file.

To toggle between window mode and full-screen mode on x86-based computers, press ALT+ENTER.