Windows medial player has the following keyboard control. alt/enter (press both) gets you to full screen mode. esc gets you back to windowed status. I use WMP 10 but this should work with previous versions.
On occasion, when i click on a video file that loads in windows media player it goes to full screen. When the movie ends--even if it embeded in a webpage... the screen turns black and I can't get back to the web page or anything. The screen stays black. I have a wireless logitech keyboard and the only key that will work is the one that puts the computer in standybe. After which I can get the computer back. Not sure if I am explaining it well enough... maybe someone can help...