Quote from Microsoft site
It has nothing to do with your mobile phone or its settings. The full screen message is some special type of message. This is being defined by the sender. On some internet sites where you can send free Text messages you can choose whether to send a normal message, or a full screen message.
Or maybe this
Menu > Contacts > No.screening
should bring you to the "Number screening" list. Scroll down to the number you wish to delete from that list, then press Options, and then Delete.