Fulscreen exclusive mode is a special mode that is automatically synced with monitor refresh rate, usually around 60fps - this produces a much smoother game as the screen is updated between monitor refreshes, so you don't get that horrid 'tearing' you get in windowwd mode, specially with large objects going across camera.
SET DISPLAY MODE now has an optional end parameter to turn vysnc on and off. Try it and see.
For some games it is important to run in FSEX mode, but for others you can get away with window mode. Remember in IDE you can always run in fullscreen window mode.
Boo!