Hi PBelamant,
Great question. This took me weeks to perfect, as the Windows Mobile API's block practically every attempt to make a full screen application with standard menus. That's why you'll see most full-screen apps just give up and write their own menu interface, which never works quite like you expect.
Even Microsoft can't get full-screen mode right (see their Pocket Internet Explorer, which makes you press the menu button twice to get the menu--once to exit full screen mode and once again to actually bring up the menu). It's even more complicated by the fact that the PocketPC and SmartPhone have completely different implementations for the title bar, and the PocketPC 2003 implementation seems particularly buggy.
The solution is too complex to put into a post, but it involves hiding the menu and title bars via native API calls and writing my own form manager to handle displaying dialogs (where you temporarily want the title and menu bar) and switching to other apps (on the PocketPC, you need to re-display the title bar in that case because it's shared by all apps). My solution still has problems showing dialogs that are children of other dialogs, so I simply avoid that case.
In fact, I will probably write custom code to display dialogs for version 2 so I can avoid these complications. Right now the dialogs are too slow to appear for my liking, and they aren't full-screen on the PocketPC.
Sorry for this vague answer. I wish there was a simple solution, but as far as I know, there isn't.
-David