There's an option in War to have the game act as if it's a window (strangley this is not the default like WOW). I found this when I couldn't get team speak to work. Once I'd ticked that box (in the actual game) then hitting my little windows button to launch other applications it worked better. But what I did notice is that (in may case) Vista loved Warhammer a whole lot more once I'd done this. I could also use my second screen which, until that point it, would not allow.
Probably completely irrelevent, and from here (work) I cannot remember what the option is called. I recall it wasn't readilly apparent to me what this option did when I looked as it and, it had a completely irrrelevent name - but it did work and windows closed the game a lot better once I'd ticked it.
I speak as a non-techie so I apologies if I am teaching you to suck eggs but your problem may be in the set up of your game rather than with the PC.
Mark
