Nester is a fairly old emulator, and is no longer updated. Fullscreen mode may no longer work with newer hardware or operating systems, or may never have been implemented properly in the first place. I would recommend trying a newer emulator. This is by no means an exhaustive or definitive list, but you can check out my post I made recently comparing a few newer emulators. Since I assume you're planning on playing fullscreen, I would recommend either Jnes, Nestopia, or FCEUX.
http://forums.emulator-zone.com/showthread.php?t=19971&p=116559&viewfull=1#post116559
I can do that. Will I have to get all new ROMS? From what I understand finding virus free ROMS online can be a challenge. I have 600 or so awesome NES ROMS that work with nester, but I'd much rather play full screen.