One of the best ways to learn how to do something in Mathematica--aside from reading the documentation and starting with a simple project to learn the ropes--is to look at the packages that are supplied with Mathematica.  However, these may be daunting for a beginner, and the EquatinTrekker package is both quite sophisticated in terms of the various programming constructs that it uses and, in a way, "old fashioned" in that it uses GUIKit as its means of crating user interfaces rather than Mathematica's very rich user interface constructs.  The main reason for this is resumably historical in that EquationTrekker was orignally written first in 2004, prior to Mathematica's own user interface tools were launched. 

This said, you can look at the package's code in the directory that opens when you execute the following:

But take care not to modify any of those files!

Hope this helps.

--David

By the way Ivan, a tutorial for how to set up a package in Mathematica is at 

http://reference.wolfram.com/mathematica/tutorial/SettingUpMathematicaPackages.html

For your question, in such a package you would ultimately define an overall function that launches a user interface window.  Then, just after the EndPackage[ ] command you would have a line that executes that user interface launching function.  Then when the package is loaded, the user interface would launch.