When you log off on XP it doesnt leave the programs running - if you switch users however, it does.

What you need in any case is srvany from the NT resource kit - this lets you run any program as a service, although not to cleanly shut down the program.

You should be able to find it here (http://www.microsoft.com/downloads/details.aspx?FamilyID=9d467a69-57ff-4ae7-96ee-b18c4790cffd&DisplayLang=en)