To answer your first question:
FM 2009 without the DVD, I assume you mean by installing it via Steam, is great. You can play it on any machine with Steam installed, and all minor updates are patched automatically. Also you have the added benefit of not requiring the disc, so you don't have to search for it if you lose it or anything like that.
To answer your second question:
Windowed mode allows you to browse forums, and the web in general, or do other stuff in the background while you're playing. However, the disadvantage of this is that it runs slower than Full-screen, things generally take longer.