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:
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