Wow, didn't expect that M. Goyal himself will answer to my post
Here's what I did to create my service in Windows.
I use a program "winserv.exe" to create a service, with the '-start auto' option, the new service will always start on reboot
winserv.exe install ServeurCalibre -displayname "MyOwnCalibreServer" -description "Calibre Server to give access from web to my Calibre library" -start auto "C:\Program Files\Calibre2\calibre-server.exe" --port 8080 --username "xxxxxx" --with-library="C:\path to my library".
To kill the service:
sc delete MyOwnCalibreServer
That was working great with the Calibre 2.x version, hoping someone will post the syntax for the new Calibre 3.x