Did you unzip the file before playing? I know saving (and also corrupted files) is often a big issue if you try to run something directly out of a zipped file, since it's compressed while zipped. Great for storing or moving about, not so great for trying to actually read or run anything in there
If you haven't, I suggest you get a zip program like winrar or 7-zip, so you can unzip the .zip file before playing.
Happy to help! Hopefully this allows you to enjoy many more games that you didn't know you could fullscreen before :)
On other games you can also try f11 (either dedicated f11 key or with the Fn key, depending on your keyboard layout) if Alt+Enter doesn't seem to work.
But Alt+Enter is by far the most common fullscreen shortcut for games
You can fullscreen the game with alt+enter (that is to say, after you open the game window, hold the alt key, and hit the enter key while holding alt)
This is the key prompt for fullscreen on a lot of games (most rpgmaker games, most visual novels, etc etc) so it's always worth checking if it works when you're dealing with games that don't have a settings section where you can change between windowed/fullscreen with a toggle!!
I think a lot of game makers are so used to just knowing the shortcut prompts for these things, that they don't bother putting controls for them in the settings because they assume it isn't necessary;;;;
Editing to add: alt+enter also works to undo fullscreen and go back to windowed mode.
I am so used to toggling fullscreen with alt+enter, that I sometimes do it out of habit when trying to exit fullscreen on a youtube video 馃槀
