Go to \Steam\steamapps\common\X Com UFO Defense and open doxbox.conf with your favorite text editor and make sure the settings from your location look exactly like the ones below:
fullscreen=true
fulldouble=false
fullresolution=1024x768
windowresolution=original
output=ddraw
autolock=true
sensitivity=100
waitonerror=true
priority=higher,normal
mapperfile=mapper.txt
usescancodes=true
Alternatively, press ALT+ Enter to switch from Windows Mode to FullScreen.
