When Windows programming was in the beginning (and DirectX was not available/unusable), quite some games were made that run in a window. Those games are really annoying, as they run in 640x480 (the standard resolution back then), or less, but today they cover only so small an amount of the screen, that they're almost unplayable.
BTW, The LEDWars does have the blue title bar, and the menu bar, but no border. That's something I have seen with some games, but never with applications.
