Hey! Sorry you have this problem. You can check to make sure the settings are being saved OK by opening the options menu, then closing it again (this forces the game to save the config file) then press F1 to open the game's console. In the console window there should be a message stating whether or not the file was saved successfully:
You can navigate to this directory to make sure (you may need to enable hidden folders, or use the %appdata% shortcut in windows) and then open cfg.cfg in a text editor. Make sure width, height and window_size are set as appropriate. You can even edit these and try launching the game again - if you accidentally put invalid settings and the game won't launch just delete the file.
If you're able to create a larger window, but the resolution still looks wrong try disabling 'pixel scaling' in the options menu. When this is enabled it takes a 640x480 resolution and stretches it to fill the window creating large retro(ish) pixels. By disabling it you will get the window's native resolution. If your keyboard has a number pad the + and - buttons can be used to toggle pixel scaling at any time, so you can quickly see how it affects the look of the game.
The game's default fullscreen mode is in fact borderless window - there's no fullscreen mode which completely takes control of the display as some other games do. Fullscreen mode will always set the resolution to match your current display. There's also a keyboard shortcut to toggle fullscreen at any time - alt+enter. Hope this helps!