Find/make a shortcut, then right click it, select properties at the bottom, and find the box that says target. example: C:/programfiles/steam/steamapps/metro/metro.exe <-- (don't type that in it won't work) and then at the end of it put a space and then -window. example:
C:/programfiles/steam/steamapps/metro/metro.exe -window
Idk if that'll work on newer games but try it out :P