It's been a while since I used Azureus (which is one of the best torrent software available, except for being a bit heavy on the resources), but as far as I remember yellow circles used to appear on my client as well, they would turn green after a while though.
Here's some stuff about the "health" of the file transfer. Since you mentioned that you are on a LAN, then you have a router. Did you forward your ports??
A fix for your window closing:
when you go to run and type in the command, it runs the command and closes the window. This is what's supposed to happen. If you want the window to stay, then go to Start/Run and type in cmd, then after the cmd window opens type netstat.
As for port forwarding, you need to configure it on the router. Each router has different setups, so you'll have to tell us what router you have.