lowyhong: Check the default resolution. It may be set at one that's incompatible when put to full screen.
I have tried all of them, same result.
Sogi-Ya: right click on your shortcut to the game, click "properties", click "find target", go into the "base.rte" folder, open up "settings.ini".
resolution is up at the top (don't go too big, 1280x1080 is virtually un-playable on a normal sized monitor) and just below it is "full screen = 0" change the 0 to a 1 and then save.
when you start the game it will be in full screen mode, I personally like 720p-ish sizes to be able to tell WTF is going on ...
Tried this also, "full screen = 1" is the same as "alt-enter", it is possible to change the size of the window for windowed mode in the ini file, but then the screen no longer fits to the action, i.e I can fly over the sky and dig deeper the the ground.
edit - I also see from the Steam forums that I am not the only one having problems with full screen mode. there are already a couple of threads with it, no solution though.