OS: Windows 7 64-bit
ZC Version: 2.50
I first discovered this with the Goto Location cheat, but this can be triggered by any drop-down menu. You don't even have to be in the middle of a quest. Just go to Quest Directory under Misc. and open the drive letter drop-down menu, but don't select anything. While the drop-down is still open, make ZC lose focus in some way (either by pressing the Windows key, or by changing to another application; it doesn't matter how). Once ZC has lost focus, you can't interact with it in any way. Your only choice at that point is to kill it using Task Manager.
EDIT: This was all done in windowed mode, not fullscreen.