grey screen blue box??

I'm probably being an idiot. Occasionally, especially after shutting down an application, my screen greys out, and the application window will turn a semi-trnsparent blue, with the name of that window highlighted in the middle of this blue box. Any ideas? Has my son setup some weird screen utility without knowing? Have I downloaded a bug? I was downloading a trial program (from a reputable source...) at the time this started/first noticed it......

Thanks in advance!...

It sounds like you are, somehow, activating Expose by either hitting F9,F10,F11 or moving the mouse pointer to one of the corners of the desktop (if this is activated).