Well i'll try to explain this as accurate as possible. I assume everyone's got windows Vista or 7 nowdays so if you got XP, the method might be slightly different, as some document files are saved elsewhere.
What you do is first is go to the directory of where all steam games are located. Which is at:
(Unless you use a different partition it will be located at) "C:\programfiles\steam\steamapps\common\space channel 5 part 2"
In that folder you will find a config.ini file. Before you edit the file you have to copy it to a different folder. So what you do is copy the config.ini file to "[Your Username]\documents\SEGA\space channel 5 part 2" folder
In my case the space channel 5 part 2 folder wasn't there yet. You can create that folder yourself if that's the case. Possibly the SEGA folder won't be there either. If that's the case create that as well.
Now after you copy the config.ini file to the folder, you open it with notepad(I reccomend downloading notepad++ which makes it more arranged). Search for the full_screen=0 code and change it to full_screen=1, basically switching on the fullscreen option.
Since the config.ini file is now at the right place, it will now also save your progress.
Well good luck, i hope it works out.