I had similar issue - no window popped it at all, no error message, nothing...
Initially I though that I've missed to configure something, but after checking all possible options, including manually start a game from the command prompt via retroarch.exe -L cores/fbneo_libretro.dll" "<rom>" the game wasn't starting as well...
Then I remembered that I didn't copy the BIOS files into the retroarch/SYSTEM folder, as some games were requiring these...
BAM, everything works... it was all my fault