@Lost in Thought: No, you are correct, there is no "Windowed Exclusive Mode", my brain was misbehaving when I wrote that, (as always) sorry.
@Rob K: I tried windowed fullscreen but there is a problem;
If I go windowed 800x600 and window full screen and paste a image(also 800x600) it past over the entire screen (although blurry as you would expect) as it runs in fullscreen (my screen is set to 1024x768). But when creating a gadget that is 800x600, it covers only a portion of the screen and if I load a picture into the gadget it doesn't get blurry. I guess that DBP kinda just stretches out the window to fit a full-screen view but Blue doesn't work like that?
2,4 Ghz, 1 Gig, gForce FX 5200 - and then some...