How do you create a batch file without a Dos box?

Im creating a CD presentation in Swish (its like Flash) & my CD contains a few documents that can be downloaded from the CD. I'm using batch files to accomplish this, but when the batch file is run, a small DOS box appears briefly. I then read this solution:

Bat file without DOS box:
This can be 'fixed' by right-clicking on the BAT file, go to properties... and in the Program tab, make sure "Close on Exit" is checked.

Im still confused though, Im running WinXP & when I navigate to the file: explorer/myfile & right click, I only get a properties box with general & compatibilty tabs & no program tab, & niether have a "Close on Exit" check box. Does anyone know if I'm opening the batch file improperly or is there some other way in WinXP to get to the "Close on Exit" check box.

Thanks