SQL & PL/SQL

One of the posts gave me this site to go to to set up SQL*Plus. I was very glad for it. It seemed very informative. I am running Windows XP Pro. When I set it up, everything went as planned until I double-clicked the icon. The window came up and within half a second closed and disappeared. I thought, maybe I shouldn't put the password in the shortcut, so it will have to pause. I did that and was prompted for the password. As soon as I entered the password, the window disappeared. What am I missing here? The website that explained all this is here:

http://www.williamrobertson.net/documents/sqlplus-setup.html