Bother. I don't currently have access to a Vista machine (it would be my daughter's laptop, but she's away this week), and I'm not getting much help from web searches, either. But I think that the option you want is 'hide'.
Essentially, the balloons are linked logically with the icon, so, when it disappears, so do they. For reasons I don't understand, you can't just have the icon (which would be useful with Eraser, because it flashes when Eraser is working).
If it were me, I'd live with the balloons, which are a good deal less intrusive than the modal dialog in Eraser 5.