Another thought came to mind - in fact two.
One, I'm old fashioned (which gives me the prerogative to call myself 'wise' NOT 'wise guy') and am still running XP whereas I think at least some of you Gentlemen are running Vista. Could the difference in OS cause a difference in the behaviour of switching between windowed and full screen mode?
Two, if we boot up fs9 via the Start Menu, we actually have the option of 'Safe Mode'. Now, SM loads only essential (basic) drivers and thus takes the strain off processing power.
Now SM is the same as WM (windowed mode or view) at least it looks like that.
Back in the FS2002 days I used the Alt+Enter key combination frequently during each sim session because this was the only way I knew how to take screenshots. Not once did I experience any problems toggling back and forth between SM and WM by using Alt+Enter.
The graphics cards were a simpler affair then... and this is where the problem could lie. Those of us who experience problems should state not only the maker of our GPU ie. nVIDIA or ATI but also the version number. Newer is not always better that's why we have the option of rolling back to older driver versions.
Finally for those of us who keep forgetting where to find the specs inside the Windows labyrinth I highly recommend 'EVEREST Free Edition 2.20" available at Major Geeks ➡ http://www.majorgeeks.com/download4181.html
...intuitive interface, does not use resources as it only runs when you want it to and you'll wonder how you ever managed without it.
Remember, you heard it here first 
🙂)