Is it a Console application?
It will not disappear if you use "Run without debugging" instead of "Run".
Another option is to open a command window from the operating system, and then launch your program's executable from the command Window.
Finally, my favorite option is to edit the source code and add the following lines at the end of the main() method:
if (System.Diagnostics.Debugger.IsAttached)
{
Console.WriteLine("Press ENTER to exit");
Console.ReadLine();
}