There is a way to do this with command line arguments, but some Unity games will apply their settings after the game starts (Trying it with Third Crisis makes it start windowed, but it switches to fullscreen before loading the menu) and need an extra step.
1) Make a shortcut to the .exe
2) Go to the shortcut properties, under the shortcut tab there will be a Target field
View attachment 1343432
3) Paste this at the end: -screen-fullscreen 0 (you can also add -screen-width 1280 -screen-height 720 to set the resolution to 1280x720 or something if you want)
4) For games like Third Crisis that apply their saved settings later, you're also going to have to modify it's settings, these should be in "C:\Users\YourName\AppData\LocalLow\Anduo Games\Third Crisis\Settings.sav", search for Fullscreen and change it to 0. This step will be different for each game, unfortunately.