American McGee's Alice HD has a coding bug where Fullscreen setting is fully broken. It will not code your Fullscreen setting into the config file and even if you added it manually it will delete it every time you launch the game forcing the game to run in Windowed.

1) Navigate to Users > Your username > Documents > My Games > American McGee's Alice > config.cfg

2) Open "config.cfg" with Notepad, Notepad++, or any text editing program.

3) In the Cvars section, add the line seta r_fullscreen "1" then save it.

4) DO NOT LAUNCH just yet. First go back to the file "config.cfg" and Right-Click, Click Properties, at the bottom where it says Attributes, click "Read Only".

5) Click "Apply" or "OK" then launch the game and it should not be Windowed Mode anymore.

(If you want to make other settings edits, you will have to Uncheck "Read Only" from the Properties Attributes settings, but make sure you don't launch the game before changing it back to "Read Only" or the settings will revert back.)