This seems to be related to bug #1849, but perhaps never properly fixed.

Anyways, when opening emacs from Emacs.exe, which is difficult to not do in
Windows 7 with pinning to the task bar, Emacs will open with an unneeded
console window that cannot be destroyed.

This seems likely due to the fact that Emacs is spawned as a console
application when run in this manner.  However, I think there is a simple fix
that doesn't cause problems when the program is run as a console app.

By calling the FreeConsole win32 function when Emacs initializes it's GUI
this should kill any os spawned console windows, had they not been opened
separately.

See:
http://msdn.microsoft.com/en-us/library/ms683150%28v=vs.85%29.aspx

I've used this function to great effect in other applications, and am
confident it'd work. I'd have fixed it and created a patch myself, but I've
spent the last few hours trying to get Emacs to build on this weird setup I
have here.

Indy