If you aren't using MFC and want it to start maximized, do what xwb said. If you are using MFC with SDI or MDI and want it to start maximized, override CMainFrame's ActivateFrame and change
CFrameWnd::ActivateFrame(nCmdShow);
to
CFrameWnd::ActivateFrame(SW_MAXIMIZE);
If you want it to actually be full screen like a game, that's more difficult, say so and I'll help you with that.