If the regular way doesn't work, try the following. You have to do it every time you start the game but it's worth it in my opinion. Change your screen size to 1024 x 768, then alt+enter, then change your screen size back.
Still might not work but did you first change your screen size & then start MS? (MS can't be running yet the first time you change your screen size)
You could try downloading and using, DXWnd. Never used it myself but others with this issue have used it.
I use it. It rends my internet browser unusable while the hook is going. That's the only issue I have with it.
Did you change anything in the compatibility tab I got that problem when I checked in "run in 256 colors"