Usually on my older computer it worked the other way around:Very slow in windowed mode and normal speed in full-screen.

Now I have a P4 1.7 Ghz, WIndows 98 SE and a Geforce 4200 MX PCI 64 MB card and at resolutions 400x300 I have 70 fps in windowed mode in all levels but in full-screen it falls at 50 fps. At higher resolution the frame rate falls at 37 but in stretched windowed mode at 60 fps.

Anyone got the same problem?

I have experiences with that earlier... it fixes when you install Windows XP, don't ask me why, it happens with Windows 98 SE and fast computers.