Yes.
You should close your eyes while listening to the Brain Evolution System levels. Without this, the brain simply can't access the deeper brainwave patterns that the Brain Evolution System evokes. If possible, listen in a darkened room too, for best results.
Don't worry if your eyes sometimes flicker open, that's perfect normal. Simply allow them to remain gently closed for the majority of the session.
Just get comfortable, hit the play button, close your eyes, and relax.