I have made a work-around for the problem with switching to full screen. It seems like this worked okay if your monitor had a 16:9 aspect ratio, but with other monitors it would crash the game. However, I was not able to really figure out what was happening, so the work-around requires a little additional work on your part.
The good news is that, if you have not encountered this crash, you don't have to do anything.
Instructions:
For those who are experiencing the crash, you will need to create a "Custom Path" file.
"Cyclopean II: The Dreamlands Demo > Properties > Installed Files > Browse"
Open the "Custom Path" folder and follow the instructions there. If you set it to a different folder on your computer that is in My Documents or something, it should work. Run the game to test it, and it will create the game directory.
"C:\\Users\\-Your Username-\\AppData\\Local\\Cyclopean II" <-- Your saved games are here
If you are interested in transferring any saved games, I recommend setting the custom path, running the game, and then finding the created folder before copying/pasting any saved games in there.