I have not played it so if you are stuck you should ask the creator.
You mean you hit the "Windows" key on your keyboard, which kicks you out of the fullscreen game and returns you to the desktop? That is normal.
Try pressing ALT+TAB which will give you a list of running programs. Keep holding ALT and press TAB multiple times until the game is selected, then release ALT. It should put you back into the game.
If you need to shut it down, press CTRL+SHIFT+ESC on your keyboard. This opens the task manager. (If it says "Show more details", click that). Under Processes/Details, find Amnesia.exe and click End Process.