Always have it run as a service when you use the console. That allows you to have it start in the background and hide away, folding happily.
To close the DOS box for F@H properly, use CRTL-C to stop F@H and close the box. It makes shutdown tidier for F@H.
If you want an explanation for why Vista is so difficult, well, now we all understand why Macs can be beautiful.
I don’t have consoles anymore, just DOS boxes, and if I close them F@H quits folding.