I have that issue with python interpreter - it's closing immediately after script execution. I'm trying to learn pygtk; I wrote "hello world" after tutorial and all I can see is a quick flash of two windows, one interpreter's and one gtk's. I tried to run the script from command.com instead of by double-click - didn't help much.
In older Windows I'd simply check the checkbox on apropriate tab, but how do I do it on this frelling eye candy?