I'm sure you have realized that you can make a running program take up the entire screen by clicking the maximize button on the top right corner of the window. Most people like to do this so they can see as much of the open program at once as they can.
You may have some of your shortcuts or icons for certain programs that when you double click them they open the program up in a window instead of full screen or maximized. It gets kind of annoying when you have to maximize them each time you open them.
To change this all you have to do is right click the icon and select Properties. There will be a box called Run with a drop down list. The options will be Normal window, Minimized and Maximized. Normal window will open the program in a window, minimized will open the program but place it minimized on the taskbar and maximized will open the program full screen.