While just copying the DNETC client executable into a folder will allow it to run, it isn't very smart. That is why there is an "installable" version on their download page. It will ask you if you want it to autostart. Then it will take you to the configurations screens.
Simply replacing or copying the DNETC.EXE file is best for upgrading clients, not for your first ever installation.
But, putting a shortcut in the startup folder is a very easy way to autostart the client.