If you can't open the shortcut, try going into the DATA folder and locate the RPG_RT.exe file and open it. If that one isn't openable either, let me know.
Hello, if you want it to be fullscreen, press ctl + F4 simultaneously.
I personally think rpg maker games are better in windowed mode though, because in fullscreen they seem kind of blurry to me, but that's my personal preference. I understand that some people aren't as familiar with rpg maker games as I am.