check it...
push alt-enter to minimize into a window...
push alt-enter again to bring it back to full screen, this is how I fixed that problem, you might have to do it more then once, but I don't know exactly what the problem is
[edit]bleh, to late I guess
YES, post your system, it might have something to do with you video card, and the driver your trying to use to run the game... ok:
A.what kind of video card do you have?
B.what driver are you using for UT?[/edit]