Alt+tab is the hotkey for switching between running apps. If the game is your only running program, it won't work for getting you out of a full-screen game. There needs to be another app running (in windowed mode) for alt+tab to switch you out of full-screen mode.
The better games disable the Windows key when running, to prevent you from accidentally pressing it and leaving the game. If not disabled, Windows will switch to the desktop to display the start menu.
The hotkey for switching from a full-screen app to the desktop is alt+enter. I've only encountered one game in about 20 years which disabled it. Edit: Be aware that on some games this switches the game from full-screen mode to windowed mode. You'll have to alt+enter to...