Alt-tab doesn't work if you only have one program running. Press the windows button or Crtl-Esc to get back to the desktop. Once you have 2 programs on the taskbar, Alt-Tab works fine.
True, but it might also be a problem with the drivers of your videocard...
I remember I couldn't alt-tab from alot of games with my old Voodoo Banshee, until I tried out some new drivers which were required by a game I bought...
Last night while I was playing I accidently the Windows key on the keyboard. My taskbar popped up and the Start Menu came down. I didn't fool around with it anymore, but seeing that, it seems if you want to task-switch just hit the Windows key.