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To install as service on NT4 & later, stop the gui, and open up a cmd-prompt.
If installed to default directory, type cd "\program files\boinc"
And it's installed as service.
Note, if running XP, you very likely must go into the service-control-panel and change the BOINC-service to run as "localsystem".
And start the service, or reboot.
BTW, also make sure you've not got any BOINC-shortcut in startup-folder.
Also, some have reported some win2k-computers gives an error-message when installing as service.