Hitting alt+enter at any time within the game will change it from windowed mode to full screen, and vice versa... Now if you are wanting the use of your mouse (read making the game NOT in focus) after you make it windowed, just hit shift+alt+r and you can use your computer as if the game werent running... when you want it back in the game, just click inside the game window somewhere, and you are back in game...
While Doodman is correct in going to your eqclient.in file, there is NO need to do that, because of the alt+enter thing.... When you close the game, it will remember whether you were in windowed or full screen when you go to open the game again...
Hope this helps...
BTW, all this information is assuming you are NOT running EQWindow, but are using the native built in EQ windower.... (windower, is that a word? haha)