C:\ Window behind the main window?

When I run my main.exe, there's a 2nd window behind that has C:\blah blah in it with the path to the .exe. Why is this there and how do I get rid of it? Am I building my .exe without something checked or?

Program>Build Options>Build GUI App

That will remove the console window, which is what I assume you have and don't want.

Thanks