Just some hints. I've never used uncleT's guide, P64 or KF, so I'm pretty much talking out my butt here.
1. if it's possible to create a shortcut to KF, and launch via it, I believe you can specify the windows/full screen option in the shortcut properties. (right click on the shortcut) Otherwise you'll have to look for an option inside KF.
2. It's likely a command line option error. Check the instructions for p64 to see what command line parameters you need to pass into the program to launch a rom from the command line. Mala is only (unless you've changed it) passing the rom name when you launch a title, and without the path to where that title is, p64 can't find it.
3+4. what layout are you using? Is it rotated to the wrong orientation for your monitor?