if your using the console (c:\) window you will need to leave that open unless you chose during the question part to run as a service. If you want to change it to run as a service what I've done is this.
1) Let it finish the current work unit
2) Stop the console (ctrl-c)
3) Go to the install directory and delete the client.cfg file
4) Restart the program. You will now get all the questions again like the first setup. When it gets to start when windows starts, select YES. It should now run in the background without being on your taskbar.
You can also just install the gui install, IMO, same amount of work, and you can config anytime you want. Thats what I use on my std windows installs. On my quad core though I use the cmd smp one and run it on a seperate user acct and just switch out.