i wouldn't necessarily call it a "program" but an "os" windows allows this
The thing is you need dual display, 2 monitors functioning on your computer, you extend your desktop to the second monitor. Games, most of them that i play (warcraft 3, wow, counter strike) these games change the resolution on the monitor, these will always be in the main monitor because of that.
If you use Vlc media player (the best media player in the world) you can set that up so it takes up the second monitor
be advised most computers will lag while playing high end games on one monitor and a movie on another.
So simple answer:
Dual display
Extend Desktop
VLC Media Player