If you think about it, it cannot be in game.
You can switch between fullscreen and windowed mode using the standard DOSBox shortcut Ctrl-Enter.
If you want something more persistent, there's currently no graphic interface to set PlayOnLinux's DOSBox support options, so you have to edit
~/.PlayOnLinux/wineprefix/PrinceOfPersia1/playonlinux_dos.cfg
to add a
sdl_fullscreen="false"
Or altenatively (but that's not really simpler), Configure button > (select virtual drive) > Miscellaneous tab > Open a shell in this virtual drive, and type
POL_Config_DosPrefixWrite "sdl_fullscreen" "false"