Alt-Tab works when there are other processes running.
Alt-Tab is meant to switch focus to a new window. If there are no other windows, focus can not be shifted, so your game remains on top.
If this happens, press Ctrl-Esc to load the Start menu (which will take your game screen away).
If that does not work (and it does), use Ctrl-Shift-Esc (Ctrl-Alt-Del on Windows 9x).
L. Spiro