You probably used (copied) the console version of WinrRun4J. There are two .exe files (actually four, because of 32/64 bit).
WinRun4Jc.exe (or WinRun4J64c.exe) is for console applications.
WinRun4J.exe (or WinRun4J64.exe) is for Swing/GUI applications (note the missing c
at the end of the name)