Do what D3ads told you to do, but before doing so make sure to select 32 bits instead of 16.
This, but also try adjusting other settings, ritalin. For some reason, setting it to windowed mode was the only thing that would stop the "not supported" error for me, and then after that I could play in full screen just fine.
I understand Cry of Fear doesn't support D3D, but considering all the problems many people are having in this forum, it seems a shame that it hasn't been considered.
I think it's not being suggested because it's not so much a solution as it is giving up and settling for a crappy result. It just messes up the atmosphere, especially if you make things brighter to make up for the absense of a working flashlight. If D3D were the only way I could get Cry of Fear running, I wouldn't have played Cry of Fear. I would rather figure out how to work with Half-Life's stubborn video settings than tell people to give up and play a broken version of the game.
I know you say in the first post that you've been playing with D3D, and I'm glad for you that you're apparently not picky enough to be bothered by it, but I don't think it's really a solution for people in general, especially when it's probably possible to get OpenGL working.