After saving the game, or whatever, you need to hold the alt key down and hit the tab key to switch back to Windows Explorer (alternately, you can hit the Windows key, if your keyboard has one, or hold the control key down and hit the escape key; either will bring up the Start menu, thus minimizing the game). After swapping files, etc you can click on the BD taskbar icon, or alt-tab back to the game, in order to reload the save for the changes to take effect.
Some people have encountered problems when alt-tabbing out of DirectX games and then back (ranging from sound stuttering to crashes). If you do, you can simply exit the game, do whatever needs to be done in Windows Explorer, and then start the game again.
