Not on Steam though - standalone app.
3 step process:
1) In CrossOver Games > Preferences > Installer Assistant, uncheck "Hide service packs and dependencies"
2) Install "Microsoft DirectX Runtime - Modern". This will install the necessary x3daudio dll required.
3) Find where defense grid installed itself. For me, this was in ~/Library/Application Support/Crossover Games/Bottles/WinXP/drive_c/Program Files/Defense Grid-The Awakening/. There should be a config.ini file here. Open that in a text editor and change "FullScreen True" to "FullScreen False".
Attempts to run it at full screen resulted in a blank white screen, but I heard sounds when I moved my mouse around, suggesting the menu was there, but the display system was messed up. (screen resize/draw bug?)
I don't know how far you can get into the game - I just got it running and am quite happy about actually seeing the menu. :)
Ben