I have found the secret on how to make this game run in windows. Its all located in the rise2.ini file located in (For XP users):
C:\Documents and Settings\(YourName)\Application Data\Microsoft Games\Rise of Nations\rise2.ini
Here is detailed information on each of the settings. Often the settings are on/off types and these are represented witn 0=Off and 1=On.
Windowed Width=1280
The horizontal screen resolution that the game runs in. Rise of nations only supports certain fixed resolutions and not all of these are available to everones system. It depends on your graphics card, monitor and drivers. RoN does not support a resolution less that 1024 x 768, so don't even bother trying 800 x 600.
Windowed Height=1024
The horizontal screen resolution that the game runs in. Rise of nations only supports certain fixed resolutions and not all of these are available to everones system. It depends on your graphics card, monitor and drivers. RoN does not support a resolution less that 1024 x 768, so don't even bother trying 800 x 600.
FullScreen=1
By setting this to 0, RoN will run in a window on your system if your desktop resolution is higher than your in-game resolution.
Edit: IgnoreMinimizeOnTabOut=0
When you use Alt-Tab in game, you will switch to another Windows application, or the Desktop, and RoN will run minimised while you do this (it won't pause). Enabling this setting will prevent this.
More Information on the rise2.ini file