Windows is saddled with baroque interfaces that are there only because they've always been there. Microsoft OS developers try to simulate or stub out old behaviors, in an effort to keep old app code running without breaking anything too badly.
Such a crust of backward compatibility code weighs heavily on a decades-old OS.
In fact, if the Windows guys had actually taken this backwards compatibility thing seriously, and failed to tidy things up by deprecating DirectInput, this problem probably wouldn't have arisen. DirectInput has a single simple flag to disable the Windows key :)
"DISCL_NOWINKEY - Disable the Windows key. Setting this flag ensures that the user cannot inadvertently break out of the application".
(I found this flag to work entirely reliably on Win2K and WinXP, and I'm pretty sure it worked on Win98 as well. I think it also kindly disabled a bunch of other things for you, leaving Windows with only Alt+Tab and Ctrl+Alt+Del. Which is basically exactly what you want for anything full-screen.)
Such a crust of backward compatibility code weighs heavily on a decades-old OS.