I was looking into this as well and here is what I have ended up with:
SlateWin = SNew(SWindow)
.AutoCenter(EAutoCenter::None)
.Title(FText::FromString(TEXT("Control Window")))
.IsInitiallyMaximized(false)
.ScreenPosition(FVector2D(0, 0))
.ClientSize(FVector2D(500, 800))
.CreateTitleBar(true)
.SizingRule(ESizingRule::UserSized)
.SupportsMaximize(false)
.SupportsMinimize(true)
.HasCloseButton(true);
TSharedRef<SWindow> SlateWinRef = SlateWin.ToSharedRef();
FSlateApplication & SlateApp = FSlateApplication::Get();
SlateApp.AddWindow(SlateWinRef, true);
SlateWinRef->SetContent(SNew(SControlWidget));
This creates and displays a basic window that you can place slate stuff into. Thanks to for the pointers!