After Starting the Help Capture program you should see the Help Capture icon in Windows System Tray (= Notification Area)
If this is not the case, it may be the Icon behavior was not set correctly, it should be 'Show icon and notification'.
To change the setting:
Click link Customize...
In the list, look for the Help Capture icon<
Change the value of the Behaviors combo box to 'Show icon and notifications'
Press push button OK
From now on the Help Capture icon is permanently visible in the tray.