From the Main menu select "Options" then select the Video tab.

You should be able to select from the following resolutions.

1024x768
1280x1024
1600x900
1600x1200
1680x1050
1920x1080
1920x1200
Custom Resolution

Not sure how custom resolution works if none of the other resolutions fit your screen. I have Dread Lords and both expansions not UE so there may be some differences there as well.

So what resolution are you trying to achiveve? Are you looking to span more than one monitor?

Personally I think the best way to configure the game is to size the game for a full screen but don't select the full sceen checkbox. That way the game will in fact fill the screen without a window border however you can Alt-Tab out of the game to another app or if you have multiple monitors like me just click on something else in the other screen and go back and forth between the game and something else. But that's a detail to worry about *after* you have it configured the way you want.