Emulator

-> Enable Render to Main Window
-> Set up a hotkey that go to fullscreen
-> Run a Game
-> Enter a setting in Dolphin's Options menu (be it Configure, Audio, Graphics, Controller, Hotkey, Menu Accelerators)
-> Go to Fullscreen
-> OK/Close the setting window
-> Exit Fullscreen

Now you can only play the game meantime or end it through task manager or taskkill.

When Render to Main Window is off, the setting window will not be visible while going fullscreen.

But if you press the Window key and go to Dolphin's window (not game emulation's window) and press OK/Close the setting window, the game emulation's window will be stuck instead. It can be restored when going to setting again and close it.

I'm running Dolphin 4.0-5406 on Windows 7.