You have to realise that Set Window Size does nothing more than that - set the size of the window.
If you use:
Set Window Size 800,600
then only the size of the window is set. DB's default output screen is still the default 640x480.
So, you need to also use the Set Display Mode command to set the output screen to the same size.
Set Window On
Set Window Size 800,600
Set Display Mode 800,600,16
Print "Hello World"
Wait Key
Be aware though that although you can set any size for the window width and height, you are limited to the available sizes you can use with Set Display Mode (Use the Check Display Mode() function to find out what modes are available).
Note that the above example is for DBC users. You didn't say what you were using!
TDK_Man