What OS are you running? I've noticed this to be a problem myself on some of the PC games i was running. I think the cause of the problem for me was that the 'Lock Task Switching' feature does not work in 2000. Even when it says off it still can switch, which means when the program is done it drops to windows rather than going back to MameWah. The only way i could solve this was do the 3-finger Sa-Lute, and do a "Switch To" on MameWah. This will bring you back in.
I haven't solved this, i just stopped playing those games. Also some times i get a similar effect, but is just the taskbar being on top of the FE and i have to once again do a "Switch To." Not a problem now, but soon I would like to do away with the keyboard.