Hi
The "Loading effects and Transition icons" window that comes up is when VP updates when it sees these folders are missing.
When you have closed down VP check the following folder...
User name/AppData/Roaming/NCH Software/Videopad
You should find the following files.... (at last I do in Vista)....

If the effects_transitions folder is not there VP loads it at startup (not sure where from) and puts up the Initializing VideoPad window.....

On my PC this runs for only a few seconds but is mostly covered by the VP Version number Splash screen.

I would have expected the Splash screen and the Load screen to vanish leaving the Wecome screen and its choices, but here THAT screen closes as soon as the load screen is complete.
That may be a bug. and I'll report it. However the initiator (here at least) is the absence of the effects_transitions folder. Check you have it when VP is up and running, and check if it is there when VP is closed down (or you PC has had a shut down.
Nat