Fullscreen just covers desktop

[v1nsai]

I'm new to Mac, so maybe this is a stupid question, but when switching a VM to full screen it doesn't get its own window like other apps do on 10.7 Lion. Instead it gets fullscreen but covers my desktop. Anyway to force it into it's own window? When I discovered I could switch desktops with a 3 finger swipe the first thing I thought of was virtual machines, but it's kind of moot with no desktop