I think this is actually problem of the game itself... plenty of today's games have the option to be Windowed, or Fullscreen (which is what you do to have them on one of your screen and still see what's going on on the other, but minimizes)
But not so many have the option to be Full Windowed, which is basically what you are asking for...

I don't think there is such software that would add the Full-Windowed option to all games.