I received a reply from Paul Ko at Sun Microsystems.
Paul is the product line manager for Sun's Java application server.
To run the AppServer as a Windows service, you need to use 3rd party software to enable this. The AppServer is designed to run as a Windows application, not as a service. You can do a Google search to find a suitable 3rd party software to fulfill you needs. Unfortunately, we do not publish which 3rd party software can be used to do this -- as a policy, we don't endorse any particular vendor.
I am disappointed that Sun does not provide this functionality out of the box.