windowed mode

It is possible but if i remember correctly you get the back buffer differently in windowed mode. I think in fullscreen you call GetAttachedSurface() right? but in windowed you have to create the back buffer yourself. Possibly as a regular offscreen surface but with dimensions the same as the window.

Hope this helps

Hmm no..that is not entirely correct...
I use these calls:
g_pD3DDevice->GetBackBuffer( 0, D3DBACKBUFFER_TYPE_MONO, &g_pD3DBackSurf );

// Create the background image surface
g_pD3DDevice->CreateImageSurface( 800, 600, D3DFMT_A8R8G8B8 , &g_pBackground );

and
hr = D3DXLoadSurfaceFromFile( g_pBackground,
NULL,
NULL,
"back.bmp",
NULL,
D3DX_DEFAULT,
0,
NULL );
then i render like this:
g_pD3DDevice->CopyRects( g_pBackground, NULL, 0, g_pD3DBackSurf, NULL );

Have you checked the return values of those functions? Do they return a success or failure?