It'll lose any progress from the last autosave, but since the default is to save at 15 minute intervals, you'll only lose, at the most, 14 minutes and 59 seconds of work.

Now, as far as whether it will leave the command window open or not depends on what method you are using to run it. If you have a shortcut in your startmenu, it will close the window, but if you manually opened the command window to start the run, it'll keep the window open.

D