I also have this problem on Windows 98 SE. I'm very sure it's not specific to any particular version of Windows. I have tried other work-arounds, but reloading Norman manually doesn't do anything.

However, if you install new hardware, it will show the Norman splash screen and put the icon in the tray. Very strange, methinks.

It also doesn't show the Soundblaster EAX logo thingy with Litestep on startup, but with Explorer it does.