I assume you have Win 7? There are two ways to fix this.
One is use a batch file to start the game. Open up notepad and paste or type in the following:
taskkill /f /IM explorer.exe
start /w Baron.exe
then save as a bay file instead of a text file. Example: RB3D.bat
NOT As: RB3d.txt
If you do save as a txt file, you can just rename the file and change the extension from txt to bat
Then place the file in the game folder and create ashortcut and place the shortcut where you want to start the game.
What this file does is basically kills Windows so it does not conflict with the game. I like it because it removes resources from the CPU. When you end the game, you will be asked to click any key to restart Windows.
I say it basically kills Windows, because some functions still work, almost any program running and not minimized will still be accessible, like a web-page and such, two, by pressing ctrl+alt+delete you can still bring up taskmanager, whhich is a good thing, for if you shut down the cmd box asking you to click any key to restart Explorer (Windows) [which I did a few times, you can bring up Taskmanager , goto File => New Task and type in Explorer.exe and it will start up Windows again.
The second way, is before starting the game, right click on the Desktop, select Screen Resolution. Then just leave the Screen Resolution window open and start the game.
Seems like this happens so often (thank God that XP still is supported!), seems like someone would have developed a patch by now.