You mean it should run as an icon in the taskbar, right?
You can't do that with the client alone, you have to use a program like SetiDriver. In addition to that, this will also let you keep a local cache of wus on your computer, so you can keep crunching away, even if the Berkeley server is down.
BTW, if you use SetiStash, you can hide the client and SetiStash completely from the desktop.