In Run Once settings under Unattended tab I chosed two components to install:

%systemdrive%\install\NETFXAIO.EXE
%systemdrive%\install\jre6u4.exe

Everything is installins smoothly but the script is not finishing. I mean that even though both installers are executed, black screen is not disappearing - I have to manually close it and then installation continues. Is there a way (a command) to exit from command screen after instalations are finished?

There is a command "Exit".

However, it may not work. If you tried it and it did not work, here is the issue. In normal Windows operations a parent process must remain active until its child processes have completed their exectution. The odds are that one of the .exe's you are calling is remains running or fails to return execution to command.com. If either or both remain running, then you can try this.

%systemdrive%\install\foobar.bat

create a batch file called foobar.bat and place it in the install folder... foobar.bat should read:

start NETFXAIO.EXE

start jre6u4.exe

cls

exit