It appears a lot of players have problems related to the original CFG file, particular the windowed mode. Underneath the [video] section from my CoW 1.4.4 - Easy and painfree Installation , plus some additional stuff and info.
The CFG file opens with Notepad.

[video]
windowed = false ; removes window mode - permanently
borderless_window = false ; additional window mode removed
movies = true ;event movies still play
show_banners = true ; battle banners are shown
grass_distance = 6400 ;grass setting (not sure if that might need some testing fro a better setting)
tga_width = 1680 ;high resolution screenshots
campaign_resolution = 1680 1050 ;enter your desired resolution here, eg 1024 768
battle_resolution = 1680 1050 ;enter your desired resolution here, eg 1024 768
Something for the [game] section:
[game]
disable_arrow_markers = true ; removes those green markers under the battle units