Are you using Office2007 as external skin? If so, you need to add the CSS files for the RadWindow on the page as well. Also please make sure that both RadGrid and RadWindowManager have the Skin property set to "Office2007".
If you still experience problems, it will be best to open a support ticket and send us a small sample project where this issue could be reproduced - we will check it right away.
the Telerik team
, the state of the art learning tool for Telerik products.