If you are trying to run a batch file, it could be a syntax error, which in most cases causes an instant exit. To diagnose, try opening up cmd.exe, and running the program directly from the command line. If you get a result such as 'Syntax Error', or something of that effect, review the batch file.
Otherwise, if it is a command prompt-based application, it could easily be a glitch in the code, so it may be worthwhile to report the bug to the developers, if they offer such an option.