The program "GameCompanion" was made by user BUDA20 at the Elder Scrolls Nexus Forums and it works for nearly all games and programs, including Skyrim, Oblivion, Morrowind, and Fallout.

What it does is set a windowed program to emulate full screen like games such as World of Warcraft and League of Legends allows you to do, which allows you to quickly alt-tab without having to worry about stability issues.

For Skyrim, just open the GameCompanion INI file in word pad and add TESV.exe to the list under the other games. GameCompanion must be open and can be minimized to the notification icon area, and can also be set to load at computer startup.

When you open Skyrim in windowed mode, the game will be made to appear full screen after a short while.

Here is the link: http://www.tesnexus.com/downloads/file.php?id=39550 or you can search GameCompanion.

Enjoy!

P.S. - Bethesda, feel free to implement this feature into the game! If this little program can do it, I'm sure you can too