Actually coming from Unix/Linux I don't mind command line applications, but at least the documentation should be correct and the script posted in the Windows tutorial does NOT work.
Doing everything by hand (like in the Linux tutorial) works, so thanks for your help.
Actually, all that batch file does is open the terminals with the arguments so that's probably not it. I've had the same issue (daemon closes instantly, wallet complains that it can't connect to daemon) and it turned out to be corrupted blockchain data (checked the logs). I fixed it by deleting the blockchain and resyncing.
I'd like to know if the Windows .bat script does/doesn't work for others, though. It's fine for me on 7.