I too had this problem with Windows 10 on my Intel HD 4000 and I copy and pasted a solution I came across online from another thread.
I downloaded dgvoodoo. Here's a tutorial for those that just want to jump in.
http://dege.freeweb.hu/dgVoodoo2.html
http://www.play-old-pc-games.com/compatibility-tools/dgvoodoo-tutorial/
For older directx games, i.e. DX1-7 and D3D 1-8, simply copy the contents of the MS folder that has the three .dll files and go up one folder directory, root zip file directory, and copy dgvoodoo setup right into the installation folder of the game you want. I like playing games from GoG, currently reliving good old (heh) memories with Westwood Studio's Nox.
Before dgvoodoo my games weren't full screen either, after dgvoodoo problem solved! Just make sure whatever compatibility settings you may have enabled are turned off. This caused slowdown in Nox in my case, so I am not sure it is universal for all older games. I tested dgvoodoo in Dark Forces 2: Jedi Knight and Battle Realms.
As for the dgvoodoo settings, they're kind of hard to explain without a picture, but by the default settings everything should run fine. However if you don't like the dgvoodoo watermark it can be disabled by going to the third tab and deselecting the bottom right corner. This is applicable for Direct X games.
I hope this helps someone and it was too useful to keep to myself.