The MSC file that you created doesn't need to be kept running for the policy changes you make in it to remain enforced. The MSC file acts just like your normal Local Group Policy Editor, but will only enforce policies for all user accounts except those in the administrators group instead. If you wanted to make changes to that policy, then you would just need to run the MMC, make the changes you like, and close it. Any changes will be enforced as applied in that MSC file. That's all.