The steps to reproduce are simple.
[LIST=1]
[*]Open Zelda Classic.
[*]Go to the menu, and disable Fullscreen (uncheck it).
[*]Quit Zelda Classic.
[*]Open Zelda Classic.
[*]TADA! Back at Fullscreen.
[/LIST]
Is there a way to keep the fullscreen setting checked/unchecked after the game is closed?