Hi brasileiro96,
Smoresoft Sudoku does not yet officially support PocketPC's. That said, you can work around the problem and get out of full screen mode as follows:
1. Exit the game (kill it with Task Manager if necessary),
2. Delete the Smoresoft.Sudoku.exe.config file in your "Program Files\Smoresoft Sudoku" folder, and
3. Restart the game.
-David