There's a solution to the "not coming back after a switch" problem, but you have to use ALT-TAB. After the game (Oblivion, Skyrim, Fallout etc. - this applies to all of these and maybe more!) switches out, ALT-TAB back to it - you'll get the black full screen or a black window with a title bar.
Let go of ALT-TAB, and then DO THE SAME AGAIN but make sure you are selecting Skyrim again and not another window. That's right, ALT-TAB back out and all the way round, and back into Skyrim a second time, without letting go of ALT until it's at the front again. Voila!! Working game, no lost progress. It's very easy to do once you get the hang of it!