Hi there.
There is a difference between "Fullscreen" and "Maximized window without borders"
I beleive what you mean is the last thing! (WoW and some other games to the same thing)
try this code:
window = new RenderWindow(VideoMode.DesktopMode, "Fake-Fullscreen", Styles.None, new ContextSettings());
for "real" and correct fullscreen use this:
window = new RenderWindow(VideoMode.FullScreenModes[0], "Real fullscreen", Styles.Fullscreen, new ContextSettings());