SyntaxBomb - Indie Coders

Anyone can help?

Using MaxGUI, I change from full screen to windowed mode to show it and then back again to full screen

Unfortunately, Windows GUI and DirectX/OpenGL graphics use two different APIs.  There are some cards that will allow you to render dialogs to a DirectX screen, but most don't.  You will have to use one of the rendered GUIs http://www.syntaxbomb.com/index.php/topic,81.html#msg757
or roll your own.