Thank you very much for the comments & suggestions.
Finally I think I will take the suggestion to create the game in full-screen (exclusive mode).
The idea to have it in windowed & full screen mode was to give the possibility to choose between those 2 modes.. but why should I?
The game is "already" running in those 2 modes, but I figured out that the windowed mode messes some stuffs around such ad the sounds, some graphics & mouse movements.
So, as I'm a bit disappointed with the windowed mode, I think other people will also do...
I've also played those 3 weeks on some different games in order to see if some of them have windowed/full screen mode, & have top say none of them do it.
- Rogue Squadron --> Exclusive Full screen mode
- Prince of persia (last 2 episodes) --> Exclusive Full screen mode
- SimCity --> Exclusive Full screen mode
- Black & White 2 --> Exclusive Full screen mode
- Fable --> Exclusive Full screen mode
Even some old ones doesn't do that.
So I guess the windowed mode will only be good for some simple arcade games or even card games & other "simply" games... or when you play at work!
This means that I recovered one slot of my menu...!!!