Heya mugmug,
I'm not sure if it's this that you see (See Uploaded Image)? I get a "Ultima Online Loading..." window (Window #2), and the client itself (Window #1).
This sounds silly, but it's true: Depending on whether or not the Client appears visibly over the top Window #2 when you start UO, will depend on whether Window #2 will close.
So if the Client doesn't appear to cover the "Loading..." Window at all, the Client window proceeds to move into the upper most left corner of your desktop, and the loading window remains.
How to get rid of it? Open ANY Browser window, or Notepad, or MS Paint, whatever you choose, and position it over the "Loading..." window. Then select the "Loading..." window from the task bar, so you bring it to the front of Notepad/MS Paint or whatever, and it'll dissapear.
It sounds stupid, but it's how it's always worked for me. And in the past, I know on my old machine, it
HAS affected game performance if it remains open, but I don't experience it with my newer Dual Core CPU system... instead it just bugs me if it remains lingering, so I still get rid of it
Hope this helps!