Running it as a service is very simple when you know how!

1)Just install the service
2)Close PSM
3)Kill process if still running
4)double click "C:\Program Files\PS3 Media Server\win32\service\wrapper.exe" and add it to your firewall exclusions.
5)REBOOT, and really really mean REBOOT, simply restarting the process does not work...the mysteries of windows are boundless
It should work. Do not add the file manually to the exclusions (add button in firewall management)...for some obscure reason Windows will have nothing of it. You really need to run the wrapper.exe and let windows ask you if you want to add the file.