Same problem here - and I always forget until it's too late. I find Alt-Ctrl-Del doesn't work, though, and I can only get out of the mess by hibernating my machine and restarting it. I think it's related to the graphics card - the one other problem I have is that Shogun won't work with any other battlescreen resolution but 600x800.

I shall try and remember the Alt F4 trick next time, thanks for the tip