The tray icon means that Calibre is running in the background and as long as you've set up the downloads, they should work just fine[1].
To have it start automatically when you start Windows, it's as easy as creating a shortcut in the Startup folder. At least, that's how you'd start it on Windows XP. I don't have Vista or W7 so can't comment on those.
Hope this helps.
[1] This assumes that the computer is left on and running overnight. Some go to sleep or hibernate and that won't work. I don't mean to assume that you don't know this, but some new users really don't!
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