Also try Zoom Player
http://www.inmatrix.com/files/zoomplayer_download.shtml

I think it's something in the Settings.

Go to Display Properties -> "Settings" Tab Click on "Advanced"

Now click on the Tab that has your Video Card name displayed (Mine is "GeForce DDR"). Now you should have this control window to the left (see attachement). If you don't have that open the green looking thing on the left will open it.

Now click on "Overlay Controls" the selections on the right will now change.

In the "Full Screen Video Mirroring Controls"
Does "Full Screen Device" say enabled?