Games run in full screen DirectX. There are two modes of DirectX, which are windowed and full screen.
The first is used when you want to display somethhing fast in a window (like DVD and other media players).
In full screen DirectX mode there is no Windows GUI, it's not that the borders, menu and such are hidden. They simply don't exist. This is a difference from 'normal' windows apps that run in full screen mode. Here the menus, borders etc. are just hidden but still exist.
