I was having this issue too with my netbook and I have figured out what was going on. If you have any of the desktop showing when in windowed mode, then switch to fullscreen and then click in that area of the screen when in full screen, it will act like it was clicking the desktop thus going back to window.
My fix was to make the window resolution take up the whole screen, even covering the task bar. This prevented me from clicking in the "desktop" space. My system was Windows 7 with an intel integrated card using the old velious UI. Hope that helps some of you.
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