The black lines are at the side of the screen to maintain the aspect ratio of the game. If a game set to be played at 800x600 filled the entire screen, if would look stretched because it is not meant to be viewed on a widescreen monitor. It would be best for you to pick a resloution in the 16:9 ratio. Something like 1280x720 or 960x540 would fill the screen and maintain the right ratio.
If you still wan to run a game in a 4:3 ratio on your monitor, you must change the monitor scaling on your graphics card to fill the screen at all resolutions. We must know what brand of graphics card you have to help you further. You may be able to find the scaling options yourself under Catlyst Control Center if you is e an ATI card, and Nvidia Control Panel if you have an Nvidia card. Look for a monitor scaling option and choose the scaling to fill your screen. Rememer that this will stretch out games if you are not playing in 16:9.