This is what you'll most likely be seeing


Now hover your cursor over the game tab until this screen pops up and hit the big X, don't worry it won't close automatically!!



Now you should be seeing this confirmation tab pop up, simply hit "no"



Vualá! you're brought back into the games beautiful ui "or where ever you left off" and now simply use Alt + Enter to go fullscreen again and you're all set to continue!