So I would run it, and nothing would happen. I could see the icon in the Windows bar, but it wouldn't do anything. No matter how much I focused on it, etc.
I just went back to make sure it was still happening, and it is. BUT I did learn I can do something: I can focus the game, press ALT + Enter, and suddenly see the game fill the screen.
So it might be related to multiple monitors or a widescreen issue.