Closing a .bat window should not cause the client to close in fact you should be able to close the .bat window automatically with...
@ECHO OFF
START SFRAME /auth_ip:127.0.0.1 /auth_port:4500 /cash_url_w:888 /cash_url_h:706 /locale:windows-1251 /country:RU /cash /commercial_shop /commercial_shop_url:
/shop_url_w:620 /shop_url_h:633 /help_url:
/help_url_w:620 /help_url_h:633
Not sure why you have duplicate url in there for item shop and the help url both pointing to an item shop but whatever.
Would be easier just to go with the basics until you get things a little more figured out...
@ECHO OFF
START SFRAME /auth_ip:127.0.0.1 /auth_port:4500 /locale:windows-1251 /country:RU /commercial_shop /cash