It was not a window, it was the "press any key" screen, which (in my case, at least) appeared as full screen with no controls on it at all. I pressed several keys with absolutely no apparent response of any kind. I waited about ten minutes, then hit ctrl-alt-del and the task manager came up and showed that the load on my cpu and gpu was "very high". So I walked away and stayed away about an hour - hard to do LOL. I don't remember keystroke by keystroke what I did on return, but I THINK the content management screen was showing. If not, it only took a few keystrokes for it to appear. I assume this is the "blue bar" screen folks are referring to. I don't remember color, but there was a progress bar ending in ~95gb. When I hit the button in lower right (I forget the caption), the download started immediately, and finished without interruption fewer than 2 hours later. (This is with ethernet connection to modem and ~400mbps download bandwidth.)
Sorry I can't remember precisely what I did, but that's the gist of it. I do believe than when you activate the "press any key" screen, the computer will work to establish an effective handshake - or should I say elbow bump ;) - with the MS server. This can be very slow during this high traffic time, but the best policy would be to leave it alone unless you're absolutely sure there's no internet activity.
Wish you success.