I got it working but it takes a very long time to load. It seems to be downloading the whole block chain every time I run it. Did I do something wrong? It remembers my balance and transaction history but seems to download it anyway.
When the Bitcoin client starts up it will read through the entire blockchain (over 1 GB of data) from the storage device. That can take several minutes on many computers, especially slower ones. Over USB rather than from a hard drive that can take even longer. Even then, once the client launches then it will start to download any blocks that it doesn't already have. That can take many more more minutes or tens of minutes. But you can still transact while it is doing that, you just cannot see transactions from blocks that have not yet been received.
Is this what you are describing?
I've been moving the bitcoin folder in roaming each time I want to run the client. There must be a easier way.
There are thin clients, such as Electrum that you may wish to consider. Or there is Javascript, client-side wallets like those from My Wallet (
http://www.blockchain.info/wallet ) and StrongCoin.
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http://en.bitcoin.it/wiki/Category:Clients