Hi DavidB3,
Could you please let us know, how you installed Windows on to your Mac? Have you used Boot Camp or Parallels Desktop for Mac?
If you have used Parallels Desktop for Mac, when this screen appears, use this combination key on the key board "Ctrl+Command+F". It is the shortcut key to switch between full screen and Window mode for Parallels Desktop. If you see Parallels Virtual Machine window after pressing "Ctrl+Command+F" , click > Action menu on the top > restart Virtual machine and check if the issue still persisting.