Are you play in laptop?
It's too little information for ppl to figure out what's going on.
2 things I can think of:
1. you played in laptop with Nvidia Optimus card. It switch graphic card when your system not on full load. That gave me lots crash of "not finding DirectX device" before at windows mode. Full screen is completely fine.
2. your graphic card is too hot. For my desktop, my graphic card's temperature is lower when I played in full screen.