Oh and, anybody running under Wine/OSX, there's an options button in the upper left of the loading app, just next to the Cryptic logo. Go into the options menu and uncheck Fullscreen.
Wine/OSX uses X11 to draw the game's window (same as Linux), but the version of X11 that ships with OSX doesn't support switching resolutions. So, most games that run fullscreen don't work with Wine/OSX.
The paid-for version from CodeWeavers, I have CrossOver Games for Mac, bundels it's own version of X11 that fixes this (and probably other) issues. But CodeWeavers only releases new versions about every six months, while http://winebottler.kronenberg.org/ offers most of the same features but is updated almost as soon as a new version of Wine comes out.