Sounds like a StickyKeys thing. I've never actually used that Windows feature, but I do know that since at least Win95/Win98 if you held down the shift key for more than 5 seconds you could turn stickykeys on.
That said, you still don't need to use a weight or otherwise cause a key to be stuck in pressed mode. I don't recall if the option changed in newer versions, but if you pressed I think F3+P it would allow the game to continue to operate when window focus switched to another application instead of automatically pausing the game for you. This would allow you to hold down a button and then I believe you pressed F11 to toggle fullscreen mode, freeing you up to do work in other programs.