The problem with doing that is that it basically disables the game's ability to directly access the 3D hardware because it has to share the screen with other applications (even if you can't see them). This means piping the output through GDI on Windows XP, It's not as bad on Vista and 7 due to DWM and compositing but it's still slower because you have to share video memory with the other programs.
Well, while on XP that was an issue, hardware has progressed to the point where sharing your resources with what, a web browser? is no longer an issue, especially as stagnated as gaming has become. In any case, Skyrim looks to be a very console game, so any modern hardware shouldn't have an issue.