Do you mean within a LISP routine, or in general CAD usage?
If you mean in general use, you can use a W (for Window) modifier when you enter the command (So Type "W" and press enter).
If you want to do it regularly, look in your OPTIONS, there's (in there somewhere!) an option called something like "implied windowing." If you turn this on, and click anywhere NOT on an option, AutoCAD will assume that you're trying to create a Window selection.
dJE