Warning: If you have an older operating system such as Windows 95, 98, ME or 2000, there is a potential for some real problems if you change the screen resolution.  All too often these older operating system request a reboot after changing the resolution and upon boot, ask for the video driver CD.  If you do not have it available, you may be left in the default 640x480, 16 color mode and there is no undo for the setting change.  
More information on this issue below...

Setting your screen resolution:

1.  Right click a blank area of the desktop, then select Properties.  

-or-

From the Display icon in the Control Panel...
 
2.  Select the Settings tab.

 
3.  Once in the settings tab, change this slider to 800 by 600 (or more if desired) then click OK.

If you change this setting and Windows prompts you to reboot, you may have a problem!  If upon reboot you receive an error "there is a problem with your resolution setting..."  it is very likely you have the wrong (or a bad) video driver.  

If you do not have the original video driver CD, the first place to look for the correct drivers is at the computer manufacturer's support site.   If their site does not have the drivers, (beside regretting you bough one of their computers), try this:  Go to the Control Panel then the System Icon.  When that opens, click the Device tab then locate the Display setting.  Click the plus sign next to Display and record the video adapter information.

Hopefully you have a "name-brand" video adapter, e.g. 3DLabs, ATI, Intel, Matrox, Nvidia, S3, SiS, Trident, etc.  If so, go to their site and locate the correct drivers and installation information under their support or downloads page.  Install the driver and try changing the settings again. 

If you have NumberNine, 3DFX or another adapter that is no longer supported, you may still find drivers someplace. 
Try searching Google!

More information and help with video issues try: