Yeah I gotcha.
It's way out of the way and super difficult to find in unity, so I don't blame you for not being able to find it.
In unity, go to
File > Build Settings > Player Settings (the small button in the corner)
A new window pops up in your project settings, and there's a window with rectangular buttons and arrows with Icon, Resolution and Presentation, Splash Image, and Other settings.
from there go to Resolution and Presentation and thats where you find fullscreen options.
This works, but if you have a first person game without an easy way to close the game (like hitting esc or something) you might be better off setting it to windowed and making the resolution something comfortable like 1920X1080. Hope this helps.