I just started Zak for the first time and when I quit all my other windows had been moved to my second screen (my TV). I tried it again and it did it again.

It's very odd behaviour, does anyone know why it's doing this? Is it something to do with ScummVM and the resolution?

I think, this is because of resolution changing of the main screen. Try to set it to the usual max value of your screen. I didn't try it yet, but the same happens to me.