In the corner of the windows that you open there is a little triangle of dots that you can use to drag the window out to full screen, use this and it should then open that way next time.
Another way of doing it is open the program (say IE), click on the maximize button near the top right (to the left of the red cross), then close the window.
Next time you open you program (IE for example) it should open maximized.
In XP if you right click on the desktop shortcut then select properties you will find an option called Run. Open the dropdown for this and select Maximised.
May be different in Vista or Win 7.