Well Blue Bear's right of course - the Ultragain is a particularly horrible POS, but since you ask..(and welcome to the board by the way)
You need to understand gain staging. The idea is to get the signal up as high as possible as early as you can in the chain (mic - pre - recorder, whatever) so that you get more signal and less noise. So what the gain controller on your box is doing is adjusting a pre-amplifier which is taking the very delicate sound from your mic - which is very weak, think of it as a foetus of a sound, it's just the tiny amount of voltage generated by a little diaphragm and a magnet - and giving it some strength, enough strength that a regular amplifier can work with it.
Obviously that pre-amplifier's circuitry is going to have a huge impact on the sound from your mic - it will colour it, give it character (not in a good way with the Behri, unfortunately, but that's by the by). So the more you crank up the gain, the more strength but also the more pre-amp induced flavour the sound has. That will make your sound "louder and fuller" - so long as it's a good pre-amp. The Output control is just there to make sure that your recording device receives a signal at the right level. Like Blue Bear says, if he wants a very clean sound he uses little gain and more output to compensate, if he wants that pre-amp transformer sound he'll up the gain and cut the output.
So you need to look at the input levels on your recording device, get them approaching but not exceeding 0, use the gain control to affect the sound you want and the output control to get the recording level right. And quite soon you'll wish you had a better pre...
Is there anything that I should buy instead of this that wouldnt be of too much money?