Yeah, you have to run the batch file (portable_ubuntu.bat) because it has all of the configuration info (like image file locations). The run_portable_ubuntu.bat just loads it into a tray icon.
This is very cool. I didn't realize it just was so integrated. It's like the reverse of WINE and Parallels). Programs even show up in the Windows taskbar
One problem: the panel is centered... I have 2 monitors, so it sits right in the "crease."
Edit: I just clicked on one of the "handles" on either side of the panel, and I was able to move it.