Most games lock the mouse. Its quite annoying that Demigod doesn't lock the mouse. Personally, I like to use screen edges to scroll (habit from the starcraft/warcraft days) and (if any devs read this) I'd prefer a usable minimap that lets you move the screen around the map by clicking the minimap.
At any rate, the solution for _your_ problem is to get capturelock or mousejail or something similar. They're small freeware programs that let you set up a custom shortcut to you program of choice that will lock the mouse to that program when it is maximized.
Google mousejail or mouse capture or mouse lock or something like that; there's a few available.
