You need to wait. If it doesn't start up no matter what, it's
probably not meant to be ran by double clicking, especially true if
you are using open-sourced softwares.
Go to Start > Run and type in cmd
Change the directory to where the file is located.
For example, it's in your Desktop.
Type in cd desktop and press Enter.
Next, type in the file name. For example, whatever.exe
If it still doesn't run, make sure that the file you are running is
not a shortcut. A shortcut has got a small arrow at the bottom left
hand corner.
Edit: typo error.