No need to shut down any other program. Think of it as if you would have two windows open on the desktop; when one has focus and you click the other one, it loses focus to it. It is the same thing with maximized application and even the desktop, what you click becomes focused. In this case it also means that the desktop, which is also behind the maximized application, will be brought to top when focused (even accidently) what then forces the maximized application which was in front before the desktop to minimize as it cannot go anywhere else or just stay in the background like a normal window. This has to do with how Windows and its window manager priorotize things.
However, you are not alone with this. When looking at the link and getting morr information on the case, just search a bit and you will find enough threads with different solutions anywhere. When a game locks the mouse cursor correctly to its maximized window, what most do, this is no problem which explains why you haven't seen this with any game.
Another way would be setting a game to "borderless fullscreen", where it looks like maximized but behaves like a window. But this has two major drawbacks: a) only a few games (like WoW) have this option and 
it can lower performance seriously (as the hardware can throw in its full potential only when exclusively rendering to a screen – aka "fullscreen)!
