This is one of those jokes people play on each other -- it's in the same category with squirting flowers and exploding cigars. This joke works on machines running the Windows operating system because Windows happens to define certain keystrokes that work the same way in all applications. Just about everyone knows that Alt+Ctrl+Del interrupts the operating system, but most people don't know that Alt+F4 closes the current window. So if you had pressed Alt+F4 while playing a game, the game window would have closed.
It turns out there are several other handy keystrokes like that built into Windows. For example, Ctrl+Esc will pop up the Start menu, Alt+Esc will bring the next window to the foreground, and Alt+Tab or Alt+Shift+Tab will let you cycle through all available windows and jump to the one you select.
On keyboards that have the little "Windows" key (let's call it WK here) down near the space bar, you probably know that you can press that key to open the Start menu.
You can also use that key with other keys like you use the shift key. For example:
WK+e - starts the Windows Explorer
WK+f - starts the Find in Files dialog
WK+Ctrl+f - starts the Find a Computer on the Network dialog
WK+M - minimizes all the windows to clear the desktop
WK+Shift+M - restores all the minimized windows
WK+r - starts the Run dialog
WK+F1 - starts Windows Help
WK+Pause - starts System Properties