Messages sent via net send are processed by the windows messenger service on the receiving machine, and consequently there is nothing you can do on the sending side to change the behaviour at the receiving end. This type of messaging is not even supported in Vista and Win 7 where the messenger service is not supported (supposedly for security reasons).
There are a number of net send replacement programs available, most of which do not use the messenger service in order to provide messaging/notification on those platforms. Several are freeware. I don't know for sure how they will behave in full screen mode, but it should be quite easy to test.
Do a Google search for "net send replacement" will give you a number of possible solutions.
Jock