You don't say which version of Mathematica and which version of Windows are giving the trouble.
With Mathematica 12.1 under macOS Catalina (10.15.6), if I go to the Mathematica Preferences > Interface tab and in the "Show at startup" field select "New document" instead of "Welcome screen", then indeed the next time I start Mathematica I get just a new notebook window and not any Welcome Screen.
Likewise, with Mathematica 12.1 under Windows 10 (running as a virtual machine inside Parallels Desktop for Mac version 16, again under macOS Catalina), if I go to the Mathematica Edit > Preferences > Interface tab in the "Show at startup" field select "New document" instead of "Welcome screen", then indeed the next time I start Mathematica I get just a new notebook window and not any Welcome Screen.