I received a reply from Paul Ko at Sun Microsystems.
Paul is the product line manager for Sun's Java application server.
Sean,
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Unfortunately, we do not publish which 3rd party software can be used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.
Best,
Paul
I am disappointed that Sun does not provide this functionality out of the box.