I'm a little confused...Does CMF have to be started for it to be working?
Cuz in the help files, it says "After installation, Comodo Memory Firewall automatically protects any computer on which it is installed. You do not have to start the program to be protected." But then by default it starts with windows and shows a tray icon.
So do I need to start up the program or not?
You do not need to start the program.
By default it starts with windows.
To convince yourself hit Ctrl Alt Delete to bring up Windows Task Manager
Click on the Processes tab.
cmf.exe is the process associated with Comodo Memory Firewall.