Download the replacer patch (a fairly large file ~800 MB if I remember), and use 7-zip or WinRar to extract the file into the SADX directory (C:\Program Files (x86)\Steam\steamapps\common\Sonic Adventure DX). It will ask you if it can replace files, so click "Yes to All"
Extract the SADXFE into any folder, and take all of the files from the SADXFE folder, and place them in the Sonic Adventure DX\system folder, again it will ask if it can replace files, say yes.
[OPTIONAL: REQUIRED IF USING X-BOX 360 GAMEPAD] Extract the SADX360Controller, and rename it to "sonic adventure DX.exe" Replace the .EXE in the SADX directory with this. This will disable first person, but that's because the game misreads the X-Box gamepad's right stick, which would cause it to be stuck in first person otherwise. [END OF OPTIONAL]
Extract the SADXTweaker, and run the program. Click "File > Open", and select your sonic adventure DX.exe. Go to window > Resolution Editor. Replace the resolution with your native screen resolution. (You must replace it with a proper resolution or the game will close on startup).
Go back to your SADX directory, and open "sonicDX.ini" Set the "screensize=#" to 0.
If you have any questions, please ask, I'll try to answer.
[NOTE] If you fail to install anything and it doesn't seem to start, uninstall SADX from steam (this won't remove it from your account), delete the SADX directory, and then reinstall it from steam.