In the Configuration for: Batch Files, go to the Exit tab.
Select "Use exit hook:"
Click once in the space next to that and then press "the button" you use to exit back to MA.
I don't have MK4, but I also have only set up 1 PC game. (Lego Star Wars
)
It was set up quite a while ago, but I have a key combination that's not my typical Esc (which
I think is the default/internal 'exit routine' anyway). I don't recall, but I'm guessing there was an issue similar to yours where Esc is the toggle between full/windowed screen. (assuming Esc is your 'button')
Try inputting the exit hook Esc (if that's your button of choice). If that doesn't work, use a different button/key or button/key combination. i.e. L-Shift+Esc.