If the application is a Win32 GUI application, it will just run and command prompt won't wait for it to exit.
If the application is a console application, it will run in the command prompt and you'll need to wait for it to finish to get the command prompt back.
EDIT:
OK. It seems you need technical explanation. If you want to emulate the same feature in your application, you can check IMAGE_OPTIONAL_HEADER
of EXE files here.
Inside IMAGE_OPTIONAL_HEADER
, there is:
WORD Subsystem;
If SubSystem == 0x02
it means it's a GUI application.
If SubSystem == 0x03
it means it's a command prompt app.
EDIT 2:
If you want to see it in action:
Download http://www.ntcore.com/exsuite.php
Copy calc.exe or notepad.exe to your desktop
Open copied calc.exe in CFF Explorer
Navigate to Nt Headers -> Optional Headers
Change SubSystem from 0x002 to 0x003
Save it
Now run the new modified calc and you'll see the command prompt wait for it to be terminated.