It is possible. I play with a dual-monitor setup, with the game windowed on one monitor. The mouse cursor is bound to the window while playing. I need to alt-tab to change focus away from the game.
I was also totally frustrated by this when I first got the game. I found instructions somewhere on the web, but can't remember where.
It's a while since I changed it, but I'm fairly sure this is the relevant instruction:
Set up your game as windowed in the configuration, with whatever framesize you want, then
In the User.ini in your games folder (My Documents\Witcher 2 or whatever), under the Rendering section there should be a line
Fullscreen=0
Manually change this to Fullscreen=1
Hope that helps. If I am misremembering, it's worth looking further for a fix, as it is definitely possible.