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Just have a random folder opened, do alt + tab to shift to that folder or whatever you want to have opened while playing it and then click on the 'show desktop' button on the bottom right, you'll still hear the game music and all that but you can go back and forth between the game and other stuff.
I think you miss understand. I know how to toggle between windows and such. What I am saying is, if your computer locks automatically (say you pause and walk away to make a sandwich for 5 mins) or you manually lock it by pressing win+L the game video is lost for ever. The exe still runs, but the video never comes back and you can not see anything to play the game. It just becomes a black window that plays music.
If you dont understand, just start up the game. go to some level then lock your computer. Unlock it and return to the game and you will see the game is permanently glitched, or so it appears to me... if you figure out a way to fix it do let me know.