Yes, you need to change settings in Remote Agent on your QTP client:

1. Make sure Remote Agent is already
running on your QTP client (check
the System Tray for the Remote Agent
icon). If it isn't, start it by
navigating to the Tools directory in
your QTP Windows Start Menu Program
Group.
2. Right-click the Remote Agent icon
in the System Tray and select
'Settings.'
3. Find the option for 'Keep QTP
Open After A Test Lab Run Session
Ends' and make sure it is checked
on.