If it's Game Boy ROMs that you're playing, then that behavior's normal at the time. Rockboy is still at less than perfect performance on most of the PortalPlayer-based systems (e.g. iPods, Sansa, and the iriver H10). I get the same performance, but it also depends on what you play. Here's an example list of what to expect on Rockboy:
Great performance: Many early Game Boy games (Alleyway, Tennis, Qix)
Fair performance: Games that push the system harder (Mega Man, Pokémon, Super Mario Land 2)
Terrible performance: Game Boy Color games (any of them)
Because of the slow speed, it's best to shut the sound off. As for the full screen issue: start Rockboy by picking a game in your File View, then click the hold switch (to access the Rockboy menu). Go to Options > Screen Options > Scaled (for full screen) or Scaled - Maintain Ratio (for a larger view but keeping the original resolution.
Hope this helps out.