For this example, I am using Visual Studio 2010 and Silverlight 4.

Start by creating a new Silverlight 4 application called OutOfBrowserApp.  Update MainPage.xaml with the following XAML.

Right click on the OutOfBrowserApp Silverlight project and select Properties.  Check the check box that is labeled “Enable running application out of the browser”.

If you click the out of browser settings button, you can configure the Window title, Window size,  Window style, Window location, short cut icons, and short cut information.   Here is what the settings dialog should look like:

After changing the settings click ok.

Save the project and launch in a browser.   Right click in the application and click “Install My Out of browser application onto this computer”.

A confirmation box will be show giving you the option to save a short cut to the app in the Start Menu or the Desktop.

Once you click ok, the application will re-launch out of browser.   You can uninstall the application by simply right clicking anywhere in the application window and selecting “Remove Application…”