Achievements - No, those are Steam exclusive
Saves - You can pull Steam saves into FF7's ..\save folder and they'll Just Work(tm). There's a process for doing it in reverse, but I've never bothered to learn since I own the original CD package
Graphics config - Do this in 7h's driver configuration drop-downs. I believe the "windowed" mod you're referring to is actually the borderless mod, which isn't what you're looking for.