The ppm shell still attaches to the win32 console, so you'll get a dos window either way (iirc). If you start ppm without any arguments, it'll pop up the GUI — unless you have an older version of active perl. If you have the latest build, then I suspect you gave it install arguments and it didn't bother with the GUI since it already knew what you wanted.

P.S. Don't be too down on the GUI. It lowers the bar for new perl nerds and it's not a bad GUI at that.