Fullscreen on dual monitors?

Hello, I have a laptop (15.4" 1280x800) and a CRT monitor (17" 1024x768). I set it up for dual-screen mode.

I watch a lot of movies, and I like to put them in full-screen but whenever I do that and click on something else, it exits full-screen, is there anyway I can keep this from happening?

Thanks in advance!

~Steve