Can't get games to play in a window

I had to reinstall XP a couple weeks ago.  Before the reinstall the games we play on the computer always were shown in a window with the task bar at the bottom.  Now they are all playing in a full screen, no display bar at top, no task bar at bottom and the only way to get back to the desktop is to press the windows button on the keyboard.  Any idea on why this happened and how can I correct?  Thanks!

 

Kim