On Windows, the easiest way to install Subsonic is using the provided Windows Installer.
It installs Subsonic as a service (available in Control Panel > Services) that is started automatically when you log on to Windows. It also creates links in the Start Menu (All Programs > Subsonic > Start/Stop Subsonic).
When Subsonic is running, a small icon (the yellow submarine) is displayed in the notification area of the task bar. Click on it to change settings or to see status.