If you stay logged in most of the time, the GUI client is the way to go (if your system runs Windows 2000 or XP Pro and sits at the CTRL+ALT+DEL login screen for a long time, then running the CLI, or command line, client as a NT service is a better option, but for most users, this is too complex and not worth the effort). With the GUI, you can leave it running in the system tray all the time (it shouldn't
affect performance while gaming or doing other processor-intense tasks), but you can also bring it up as needed to get a nice view in 3D of what it's working on.
If you'd like a (good, IMHO, but I might be biased
) FAQ on setting up the GUI client, please see
this.