Maybe it just makes some changes to the browser etc.
After I installed it (maybe 3 months ago) I have found only 1 spyware application on my computer, which seems very little to me. So I'm pretty sure that it's working fine.
I've never left it open. I'm guessing it just makes some minor changes to ur browser. (like blocking it from connecting to spyware stuff).
Just let it be there (no need to keep the window open) for a few weeks and see if it has reduced the amount of spyware u get.