Have you got any programs running in the background such as a firewall? Many firewalls will prompt you to allow incoming and outgoing connections etc. Hence minimizing the game to allow you to make the necessary adjustments. Also depending on your computers hardware some games may dump you to the desktop and ask you to adjust your virtual memory settings if there is insufficient resources available. I would think in both the above situations you would be prompted though, rather than have no windows displayed?
Check your task manager to see if there are any other programs running when Windows goes back to the desktop. Look for those using increased memory, obviously excluding Warcraft, Explorer and other necessary system threads.
Hope that helps.