I just bought my first Arduino down at the local Radio Shack. Once, home I immediately started setting it up by following the guide here: http://arduino.cc/en/Guide/Windows. Everything was going well until I reached step 5 (Launch the Arduino application). When I double-clicked the application, the splash screen popped up for a couple seconds then went away and then nothing opened. Repeated attempts resulted this way as well.
What might the problem with this be?