Windowed Mode

[MarkG]

you could put in 1280 x 1024 but you have to consider the window border and task bar....

[Kardinal]

The file to edit is:

"My Documents\My Games\civ4\CivilizationIV.ini"

Set:
FullScreen = 0

There's also a shortcut to this file in the root of the game directory.