I click the program and nothing at all happens
From OHRRPGCE-Wiki
One possible cause is that you might be trying to run GAME.EXE or CUSTOM.EXE directly from a ZIP file. If you are not familiar with how to use zip files, you should probably use the Windows Installer instead.
Another posibility is that an error message is being displayed, and you cannot see it. If you are running GAME.EXE, look for a file named g_debug.txt or if you are running CUSTOM.EXE look for a file named c_debug.txt. Error messages in these files may help you locate your problem.
