Or you can just do it directly in Steam as I said so you don't have to make custom shortcuts etc
1: Open Steam
2: Go to library
3: Right click Company of Heroes 2
4: Select preferences in the dropdown menu
5: In the new window that opens, click "Launch Options" or whatever the top button says (I got Swedish Steam so I have no idea how they translated it)
6: Add these commands: -lockmouse -window -nomovies
Does not work like in modern games in "fullscreen windowed mode".
1. Screen scroll does not movedown the screen.
2. The screen down lowers the main window, information is lost.