I want to make a windowed game so I downloaded a few of the DirectX tutorials from Microsoft. Alt+Enter switches the game into full screen mode but I would like to disable that. I am stumped though since the first few tutorials don't handle key presses in their message loops.

How can I make a DirectX program windowed-only?

I believe you are looking for IDXGIFactory::MakeWindowAssociation(). See if the following link helps you:

http://msdn.microsoft.com/en-us/library/bb174540%28VS.85%29.aspx