Do you mean the window displayed while a user tool is executed after having checked on Options tab of the user tool the option Show DOS box?

This window closes always automatically when the called application terminated itself. If you want to get it displayed longer, you have to call from within UltraEdit a batch file which calls the application and then after termination of the application sleeps a few seconds or simply contains command pause to wait for user input before terminating batch file resulting in closing the console window opened by UltraEdit.

Or do you have selection option Output to list box for a user tool and output is therefore captured and redirected to output window of UE/UES?

In this case you have the option to change the docked output window to a floating output window by double clicking on title bar of the window in which case the output window will be always visible as long as you do not close it by key or click on X symbol. Or you disable by a click on pin symbol the auto-hide feature if you want to use the output window docked, but avoid auto-hide if mouse pointer is not positioned over the output window area respectively tab of hidden docked output window.

The time docked window auto-hides is customizable at Advanced - Configuration - Application Layout - Dockable Windows.

There is further the option ESC key hides output window when visible at Advanced - Configuration - Editor - Advanced which can be checked to close an always visible output window with key ESC.

And of course the keys assigned to the commands ViewShowHideOutputWindow and FocusToOutputWindow as well as OutPreviousMessage and OutNextMessage in key mapping configuration dialog can be used to quickly access the output window or work with the messages in output window.

Last but not least it is also possible to capture the output of a user tool to a file and close the file with Ctrl+F4 if not needed anymore.