I ditched AVG for Avast recently, and one of the things I noticed is that it has a "Check for full-screen apps (ie, Games) before displaying alerts" option.
One checkbox clicked, no more "lost fullscreen" errors, at least from my anti-virus (Microsoft, I'm looking at you and your "A wireless network is in range, even though I'm cabled to a gigabit network" and "This update may require a restart- who are we kidding- I'm gonna ask again and again until you do, since a Daylight Savings patch obviously requires an immediate restart...")
Painted - Mithra - Caitsith
MNK 78 - WHM 70 - THF 56 - BRD 51 - WAR 37 --- Maat: 1/1
Wood 60 - Cook 60 - Alch 60 - Leather 50 - Bone 55 - Cloth 55
Paintedsham - Doomhammer - Shaman 80 <RETIRED>