It's probably putting up an error message, but closing the window before you can read it. Try running MAME from the command prompt. Instructions are below if you need it, or anyone else who might find this handy in the future.
Open a command prompt (type CMD in the start menu search box, and press enter.)
Change to the drive if you need to ("C:" or "D:", and press enter.)
Navigate to the directory (example "cd\emulators\mame")
Type "mame dkong" and press enter.
Any error messages or such should display.