There should never be a regular window unless you explicitly create one, so that's easy.
Assuming you're on Windows, I know Visual Studio has a setting somewhere that lets you decide whether to build a console application or a regular windows application, and it might have defaulted to console. A quick google gets me this:
Open the project's Property Pages dialog box. For details, see Setting Visual C++ Project Properties.
Click the Linker folder.
Click the System property page.
Modify the SubSystem property.
Console (/SUBSYSTEM:CONSOLE)
So that should get rid of the console window.
If you're on some other OS or IDE, please provide more details.
