Currently I have to exit the game to access my Desktop. Is there a way to access your Desktop while playing a game?

https://en.wikipedia.org/wiki/Alt-Tab but results may vary depending on the game.

Edit: unless you specifically want the Desktop icons and you run into this, in which case I can't advise:

Uhmm, computer basics but alright:

ALT + TAB usually works to change between windows but sometimes you need to press the meta key (looks different depending on whether your keyboard was made for Windows, Linux or Mac) in addition. There are more ways and I am sure people will tell you.

EDIT: The meta key is called Windows key on a Windows keyboard in case that was not known to all.

Some games allow alt tab switching no problem. Some allow it but stay up so it’s hard to navigate. Other games do not allow alt tab at all. It’s up to the individual game. Sometimes pressing the windows key does the trick I have found.
You have t actually said what game it is you are playing? Does it have borderless window full screen in graphics options? That sometimes helps with alt tabbing.
Also, why do you need to? If you are looking at a walkthrough, load it up on another device, just easier.

Alt+Tab switches applications in Windows and will work for most games.

For more finicky games, the following might work instead:
Windows logo key + D to display the desktop or Windows logo key + M to minimize all windows.
Ctrl+Esc or simply Windows logo key to bring up the Start menu.
Ctrl+Alt+Delete then click Task Manager in the menu to start Task Manager.

DOSbox:
Alt+Enter toggles full screen mode.

If none of the above work, go into the game's graphical options and...
Switch to borderless full screen mode, if the game supports it.
If that's not available, you'll have to temporarily switch to windowed mode.
If that's not available either, then the game probably disables all forms of task switching for stability reasons.

Some games disable task switching for more petty reasons; such as a very pithy anti-cheat or to enforce immersion.