The short answer is that full-screen DirectX programs are not supposed to be exited, so your program shouldn't allow you to do it. (You don't actually say if your app is full-screen or in a window).
In other words, the effect you are seeing is not good - but it is normal. You used to see it happen on early commercial DirectX games.
I can only suggest a couple of things to try, because I've not experimented with this at all.
1. Try running your program in a window if it isn't already.
2. Try re-initialising the screen with Set Display Mode on returning to the program.
3. You may also have to store all the objects positions, delete them and then reloade/recreate them.
4. If all else fails, run in full screen mode and try Disable SystemKeys to prevent the user from alt-tabbing out of your app.
I'm sure if there are any other measures you can take, someone will post and let you know.
TDK_Man