I think there is an option for windowed mode in the main start up menu (when you start up the game). It is probably still ckecked in your case. I'm not sure though. If it is, all you have to do is uncheck it.
Pretty good idea, but there is one problem... Water conducts electricity. If you shot this thing, you might end up electrocuting yourself rather than your target (but what do I know... I'm not a scientist).