This may seem like a silly question, since the instructions are clearly laid out on the wiki, and I've never had trouble adding command line arguments to other shortcuts, but when I open the shortcut's properties to add the w, I get:

C:\games\GalCiv2\GalCiv2\GalCiv2.exe

So I add quote marks around the path and w at the end outside, like:

"C:\games\GalCiv2\GalCiv2\GalCiv2.exe" w

Hit apply, and the quotation marks are stripped from the path:

C:\games\GalCiv2\GalCiv2\GalCiv2.exe w

And of course, it doesn't run in windowed mode.

None of my other programs do this. I can use quotation marks and add arguments without a problem. Only DL, DA, and TA do this.