I had to lol at this. First and foremost unless the program was coded to work WITHOUT arguments it won't close. The program EXPECTS arguments, you are not giving it any, so it just exits. This is stuff on a basic level.
I had just ran the first thing that I had seen in the folder. 
You need to run it from the windows command prompt. Learn more at http://windows.microsoft.com/en-us/windows-vista/open-a-command-prompt-window
Type oclvanitygen64 --help to see your options.
For example, I run it with oclvanitygen64 -k -p 0 -d 0 -o c:\f\vanity.output 1Lifeboat