Check the NeHe site (hosted here). There's a tut. Basically you create the GL window without any borders/ title and then change the screen resolution to match. NeHe has the appropriate Win32 calls so I won't post them here.

How do I swtich to full screen useing OpenGL and Win32 without DirectX or glut? I've been digging through the Win32 SDK looking for some type of API call for the effect.

Thanks, that was exactly what I was looking for.