As far as I'm aware, you can play sh3 windowed, but if that window isn't selected, you will lose the sounds.
And if you're running the high-res fix, you can't play it windowed at all.
Yeah, it's a shame, because sh3 is exactly the game you would want to play windowed with all the loading times and long traveling involved. But to my knowledge, there's no fix for this..
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