@meaker,
You're so right. We were so behind schedule, and many of our customers were so anxious, we released before we had our website ready.
Here's some details, for you and for others.
The current release runs as a Windows Service. The service itself is called PhoneMyPC_Helper.exe. This program starts when your computer boots (this is important for logon support), and then it runs PhoneMyPC.exe, which is responsible for all of the software's features.
When you install PhoneMyPC, it will run immediately, and you do not have to run it from the start menu. It should show you the Settings screen so you can configure it.
If it does not, then you have seen a bug we recently found. On some computers, the PhoneMyPC is launched in the wrong session so you cannot see it. If this happens, open your Task Manager and kill PhoneMyPC.exe. The service will re-run it in the proper session and you will see it either open the Settings window, or you will see its icon in the System tray. You can then configure it.
The only reason to ever run it from the Start menu is if you have chosen to Hide the system tray icon, but you need to show the Settings window to reconfigure it. Even this use case has been shown to have a bug--as you found.
We are working on all these little kinks and will release updates as and when they are available.
What's best, you will probably not need to worry about it, as the updates will be sent automatically. Well, unless we have a bug in THAT code