HELP ! Prey demo running in a window

[alien resident]

I dont know what I did but now my Prey demo is running in a Windows frame. Eventhough it is maximised I still see the blue border with the red X in the top right corner. How do I get rid of it. It happened after I tried to go to the http://www.prey.com website using the link from within the credits after I exit the game

[skeeder]

ALT+ENTER